This paper studies a robust continuous‐time Markowitz portfolio selection problem where
the model uncertainty affects the covariance matrix of multiple risky assets. This problem is …

This paper focuses on a dynamic multi‐asset mean‐variance portfolio selection problem
under model uncertainty. We develop a continuous time framework for taking into account …

This paper studies a robust Markowitz mean-variance model where an intractable claim is
involved in the terminal wealth. The term “intractable claim” refers to claims (rewards or …

This paper studies stochastic linear-quadratic control with a time-inconsistent objective and
worst-case drift disturbance. We allow the agent to introduce disturbances to reflect her …

We consider a singular control model of cash reserve management, driven by a diffusion
under ambiguity. The manager is assumed to have maxmin preferences over a set of priors …

The Black–Scholes formula is an important formula for pricing a contingent claim in
complete financial markets. This formula can be obtained under the assumption that the …

This paper studies the robust portfolio selection problem under a state-dependent
confidence set. The investor invests in a financial market with a risk-free asset and a risky …

In practice, one must recognize the inevitable incompleteness of information while making
decisions. In this paper, we consider the optimal redeeming problem of stock loans under a …

This paper studies stochastic linear-quadratic control problems for an ambiguity-adverse
agent with a time-inconsistent objective. We allow the agent to incorporate disturbances into …

We solve a min-max problem in a robust exploratory mean-variance problem with drift
uncertainty in this paper. It is verified that robust investors choose the Sharpe ratio with …