One of the main challenges investors have to face is model uncertainty. Typically, the dynamic of the assets is modeled using two parameters: the drift vector and the covariance matrix, which are both uncertain. Since the variance/covariance parameter is assumed to be estimated with a certain...

We study a sequential decision problem in which a firm has the option to invest in a project and can learn about the future profitability of this project prior to investment. The decision process is split into two stages. In the first stage the firm decides whether and how much to invest in...

The concept of first-order stochastic dominance defined on distributions is inadequate in models with learning. We extend this concept to the space of distributions on distributions. We discuss conditions under which for all common observations one person's beliefs (over a set of probability...