This paper deals with the problem of the cost of uncertainty associated with the utility maximization problem in a complete market with multiple risky assets and unobservable dividends. This leads naturally to a partial information setup from which filtering techniques can be applied. Using a...

A decision algorithm is presented that improves the productivity of data collection activities in stochastic environments. The algorithm was developed in the context of an aircraft field campaign organized to collect in situ data from boundary layer clouds. Required lead-times implied that...

What is the origin of Strategic Management leading towards national Welfare planning, development and optimisation all over the World? This question opens a "Pandora's Box". It is significant that it is a key question to open up the knowledge of a world of ignorance, with some believing that...

We assume that an impatient decision maker (DM) runs variable-size experiments at an increasing, strictly convex cost before choosing an irreversible action. We introduce and solve a tractable continuous time version of this problem - a control of variance of a diffusion with uncertain mean....

A key feature of online gaming, which serves as an important measure of consumer engagement with a game, is level progression, wherein players make play-or-quit decisions at each level of the game. Understanding users’ level progression behavior is therefore fundamental to game designers. In...

Trust and trust management represent the very foundations of Computer and Network Security Protocols enabling all cyber activities. The recent spate of national and global high-impact cyber security compromises threats, vulnerabilities and exposures leads to fundamental questioning of trust as...

This paper explores the value of memory in decision making in dynamic environments. We examine the decision problem faced by an agent with bounded memory who receives a sequence of signals from a partially observable Markov decision process. We characterize environments in which the optimal...

Unknown model parameters, like expected returns, cannot be accurately estimated from short samples. Respective estimation error most likely leads to the portfolio, inconsistent with its target risk/return profile. We investigate the ways of reducing the impact of estimation error on portfolio...

We consider a class of multi-armed bandit problem which is at the same time an arm-acquiring, restless and mortal bandit, and where the rewards follow any distribution. This is the case for a committee whose mission is to select the best element of a set of talents who live for K periods, and...

We consider the problem faced by a firm that receives highly differentiated products in an online fashion. The firms needs to price these products to sell them to its customer base. Products are described by vectors of features and the market value of each product is linear in the values of the...