Momentum is the notion that an asset that has performed well in the past will continue to do so for some period. We study the optimal liquidation strategy for a momentum trade in a setting where the drift of the asset drops from a high value to a smaller one at some random change-point. This change-point is not directly observable for the trader, but it is partially observable in the sense that...

The response to a large-scale disaster, e.g. an earthquake or a terrorist incident, urges for low-cost policies that coordinate sequential decisions of multiple agents. Decisions range from collective (common good) to individual (self-interested) perspectives, intuitively shaping a two-layer decision model. However, current decision theoretic models are either purely collective or purely indivi...