We show that under a dynamic information acquisition process, a risk averse investor's unconditional expected optimal quantity of information and investment amount are higher than those under the corresponding static information acquisition process. However, when the initial belief of the...

Central and local governments around the world are seeking investments from private firms tocreate smart city solutions. Motivated by this, we model an investor and a local governmentwith a Stackelberg game. The investor has a CARA (or exponential) utility function and she hasan option to...

In the presence of ambiguity on the driving force of market randomness, we consider the dynamic portfolio choice without any predetermined investment horizon. The investment criteria is formulated as a robust forward performance process, reflecting an investor's dynamic preference. We show that...