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 …

We derive a closed form portfolio optimization rule for an investor who is diffident about
mean return and volatility estimates, and has a CRRA utility. Confidence is here represented …

We examine optimization problems in which an investor has the opportunity to trade in $ d $
stocks with the goal of maximizing her worst-case cost of cumulative gains and losses. Here …

We study continuous-time consumption and portfolio choice in the presence of Knightian
uncertainty about interest rates. We develop the stochastic model that involves singular …

We consider the robust exponential utility maximization problem in discrete time: An investor
maximizes the worst case expected exponential utility with respect to a family of …

Consider a robust retirement decision problem for a risk-and ambiguity-averse investor
concerned about return ambiguity in risky asset prices. When the investor aims to maximize …

In this paper we study a robust expected utility maximization problem with random
endowment in discrete time. We give conditions under which an optimal strategy exists and …

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 …

In this paper we develop a Stochastic Gradient Langevin Dynamics (SGLD) algorithm
tailored for solving a certain class of non-convex distributionally robust optimisation …

We establish a nondominated version of the optional decomposition theorem in a setting
that includes jump processes with nonvanishing diffusion as well as general continuous …