Robust portfolio optimization refers to finding an asset allocation strategy whose behavior
under the worst possible realizations of the uncertain inputs, eg, returns and covariances, is …

This paper reviews recent advances in robust portfolio selection problems and their
extensions, from both operational research and financial perspectives. A multi-dimensional …

This paper analyzes the equilibrium strategy of a robust optimal reinsurance-investment
problem under the mean–variance criterion in a model with jumps for an ambiguity-averse …

This paper considers a robust optimal excess-of-loss reinsurance-investment problem in a
model with jumps for an ambiguity-averse insurer (AAI), who worries about ambiguity and …

This paper provides a derivative-based optimal investment strategy for an ambiguity-
adverse pension investor who faces not only risks from time-varying income and market …

In this paper, we investigate a robust optimal investment problem for an ambiguity-averse
member (AAM) of defined contribution (DC) pension plans with stochastic interest rate and …

This paper investigates a robust optimal asset-liability management problem under an
expected utility maximization criterion. More specifically, the manager is concerned about …

We determine the optimal portfolio for an ambiguity averse investor who has access to stock
and derivatives markets. The stock price follows a stochastic volatility jump-diffusion process …

In this manuscript, we examine the welfare benefits of climate risk hedges and the effects of
climate uncertainty on optimal portfolios with different investment horizons. We consider the …

This paper analyzes the optimal consumption and portfolio choice problem for an ambiguity-
averse investor with recursive preferences. The investor has access to both the stock and …