The first example that popped into mind was a woman named Eumachia in Pompeii. Perhaps this is because I spent far too much time studying Pompeii. Or perhaps it's just because Eumachia is such an interesting figure. But I still think she gives a good insight into answering your question.

In the early first century AD, under the reign of Tiberius, Eumachia lived as one of Pompeii's wealthiest and most influential inhabitants of Pompeii. Here is a list of all the buildings and statues in Pompeii that she funded.

Of particular interest in relation to your question is a statue. On the base of a statue of Eumachia it says:

"To Eumachia, daughter of Lucius, public priestess, the fullers dedicated this statue" (ILS 6368).

Now the closest thing the ancient Roman world had at this point to Newspapers was the acta diurna. Merchants did not have patents or copyright laws, and they would not have thought of using announcements like the acta diurna to further their wares. Moreover trade and merchants were highly specialised and done on a small scale; In an article entitled "Advertising Among the Romans", Evan T. Sages notes, "In the fourth century AD there were 2300 oil shops in Rome, and more than 250 bakeries" (Sage, 205).

Signs and patronage, however, overlap here. Let's take the example of Eumachia's statue. She would have been a patron of the fullers, and in return they dedicated a statue to her. Fair enough. They honour her patronage. But the inscription also acts as an advertisement for themselves. The fullers made this. They had enough money and resources and influence in Pompeii to commission a big statue of their patroness, and they proudly stamp their brand on the statue's base. It essentially acts like a billboard for them.

While merchants didn't have patents or copyright laws, that isn't to say that the Romans had absolutely no concept of privacy, just...not in the same way we might. One needs only look at difference in tone in Cicero's letters to see that he saw and portrayed himself according to his audience, whether he be writing to his good friend, Atticus, or wheedling some favour from Pompey. Or even Seneca's philosophical letters. While at first glance philosophical discussion may seem somewhat out of place in letters, upon further inspection letters actually present themselves as the medium of choice for philosophical writing. The epistolary form is, in and of itself, dynamic. It has a fluidity to it that most other forms of writing are unable to offer to philosophy. It is engaging in form in that with it the philosopher can craft a narrative in his own voice with a certain degree of familiarity with the recipient, while simultaneously challenging the reader with his episodic contemplations. Yet it is able to do so without making too many sacrifices with regard to its stature, retaining a sense of deep and formal thought with its intimate reception.

Letter writing is, in most if not all cases, a far more personal form of writing than others. Even official letters have a different tone than, say, a piece of oratory or rhetoric. Letters are more akin to a conversation between individuals. Ergo, when philosophers use the form of letters for their work, their words themselves should be taken with a degree of informality, which is not to say that a letter is unpolished or in any way lacking in sophistication. A letter is quite simply an excellent means by which one can construct a fluid and informal narrative or dialogue; in essence it allows the philosopher to monologue without interruption, while still expecting feedback from the recipient. It intellectual engages the audience in an informal fashion, more akin to a conversation between friends, while simultaneously allowing the philosopher -- in this case, Seneca -- to share his thoughts.

The difference in writing shows a clear shift in the portrayal and conception of the self in different mediums -- from inscriptions to letters -- in the Roman world. Advertising could be of a political and status nature (e.g. Caesar's acta diurna) as well as a mercantile nature (which we can see it with things like Eumachia's statue and many other signage. Some people would even complain about the amount of repetitive signs in towns like Pompeii). But while they had a sense of privacy in that a person could try to keep certain facts and details secret, there was no right to privacy. And that is a very real distinction which must be made. The closest parallel I can think of to our modern concept of the right to privacy is Imperial Roman law stating that haruspicy and divination is illegal (for example: CT 9.16.2), but that would have been an attempt to keep haruspices from divining the Emperor's death. That edict itself actually says:

"We forbid Haruspices, Priests, and those who are accustomed to minister by those rituals, to enter a private house, or under the pretext of friendship to cross the threshold of another man, and we have put forward a punishment should they ignore this law. But you who judge this right to do go out to the public temples and to the shrines and perform your customary solemn rituals; for we do not forbid uncompelled offices that make use of the past to be conducted in the light."

But don't be so quick to jump at the words "private house." Yes, it denotes that the Romans had a sense of private space, but this edict enforces Imperial will within those private spaces, which makes that definition of "privacy" very different from our concept of a "right to privacy."