The standard paradigm underlining financial regulation as well as the financial consumer protection toolbox has long been rooted in individuals’ rationality hypothesis. Within this framework, the more information the better, as complete information is deemed to trigger awareness and empower consumers. Rules of conduct themselves have increasingly relied on information flows from intermediaries to individuals, both at the point of sale and on an ongoing basis. The latest financial crisis has challenged this framework, highlighting that investor behavior systematically deviates from classical assumptions. A rising number of policy makers have become interested in delving deeper into the individual decision-making process. Since then, international institutions and national jurisdictions have been launching behaviorally informed initiatives as an important precondition for successful actions. This chapter focuses on Consob (the Italian securities regulator)’s first steps towards behaviorally informed policies within the European framework.