We consider an assortment optimization problem where the retailer needs to choose a set of products to offer to customers from the range of available products. By choosing the assortment, which will affect customers' purchase choice, the retailer aims to obtain a high expected revenue. We study...

Consider a robust retirement decision problem for a risk- and ambiguity-averse investor concerned about return ambiguity in risky asset prices. When the investor aims to maximize the worst-case scenario of his/her utility derived from consumption and bequest, we propose an optimal G-stopping...

The potential market demand has a major impact on the probability of Initial Coin Offerings (ICOs) success of Blockchain-based platforms. However, the exact market demand is difficult to estimate because the goods or services provided by the Blockchain-based platforms are generally hard to...

Consider an investment problem with strategic complementarities and incomplete information about returns. This paper shows that investors aggregate their private information in equilibrium by trading a token and observing its market price over multiple rounds before making the investment...

This paper considers a multi-agent optimal investment problem with conservative sentiments in an incomplete market by a BSDE approach. Particularly, we formulate the conservative sentiments of the agents by a sup-inf/inf-sup problem where we take infimum on a choice of a probability measure and...

We consider the mechanism design problem of a principal allocating a single good to one of several agents without monetary transfers. Each agent desires the good and uses it to create value for the principal. We designate this value as the agent’s private type. Even though the principal does...

Group testing is an efficient method of conducting massive tests using limited resources. We consider a group testing problem with the aim of deriving an optimal partition policy that minimizes the systematic objective, which is the weighted sum of the expected false-negative classifications,...

We revisit the problem of estimating the local average treatment effect (LATE) and the local average treatment effect on the treated (LATT) when control variables are available, either to render the instrumental variable (IV) suitably exogenous or to improve precision. Unlike previous...

We revisit the problem of estimating the local average treatment effect (LATE) and the local average treatment effect on the treated (LATT) when control variables are available, either to render the instrumental variable (IV) suitably exogenous or to improve precision. Unlike previous...

A sender designs an information structure to persuade a receiver to take an action. The sender is ignorant about the receiver's prior, and evaluates each information structure using the receiver's prior that is the worst for the sender. I characterize the optimal information structures in this...