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Until the Bitter End: On Prospect Theory in a Dynamic Context
We provide a result on prospect theory decision makers who are naive about the time inconsistency induced by probability weighting. If a market offers a sufficiently rich set of investment…
Unrealistic Expectations and Misguided Learning
We explore the learning process and behavior of an individual with unrealistically high expectations (overconfidence) when outcomes also depend on an external fundamental that affects the optimal…
Randomization Beats Second Price as a Prior-Independent Auction
A randomized mechanism strictly outperforms all deterministic mechanisms in terms of worst case guarantee and resolves a question in the design of revenue optimal mechanisms that have access to a single sample from an unknown distribution.
Dynamic revenue maximization: A continuous time approach
The Wald Problem and the Equivalence of Sequential Sampling and Static Information Costs
We consider the sequential sampling problem of Wald (1945). The static cost of attaining any experiment is equal to the expectation of the log likelihood ratio. This equivalence between sequential…
Speed, Accuracy, and the Optimal Timing of Choices
We model the joint distribution of choice probabilities and decision times in binary decisions as the solution to a problem of optimal sequential sampling, where the agent is uncertain of the utility…
Optimal Control of an Epidemic through Social Distancing
We analyze how to optimally engage in social distancing (SD) in order to minimize the spread of an infectious disease. We identify conditions under which the optimal policy is single-peaked, i.e.,…
Stochastic Choice and Optimal Sequential Sampling
We model the joint distribution of choice probabilities and decision times in binary choice tasks as the solution to a problem of optimal sequential sampling, where the agent is uncertain of the…
Dicke quantum spin glass of atoms and photons.
It is argued that a quantum spin-glass phase can appear, with a random linear combination of the cavity modes superradiant, in the multimode Dicke model with variable atom-photon couplings.