Robust Markowitz mean‐variance portfolio selection under ambiguous covariance matrix

A Ismail, H Pham - Mathematical Finance, 2019 - Wiley Online Library
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 …

The robust Merton problem of an ambiguity averse investor

S Biagini, MÇ Pınar - Mathematics and Financial Economics, 2017 - Springer
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 …

Sensitivity of robust optimization problems under drift and volatility uncertainty

D Bartl, A Neufeld, K Park - arXiv preprint arXiv:2311.11248, 2023 - arxiv.org
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 …

Optimal consumption and portfolio choice with ambiguous interest rates and volatility

Q Lin, F Riedel - Economic Theory, 2021 - Springer
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 …

Exponential utility maximization under model uncertainty for unbounded endowments

D Bartl - The Annals of Applied Probability, 2019 - JSTOR
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 …

Robust Retirement with Return Ambiguity: Optimal -Stopping Time in Dual Space

K Park, HY Wong - SIAM Journal on Control and Optimization, 2023 - SIAM
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 …

[HTML][HTML] Robust expected utility maximization with medial limits

D Bartl, P Cheridito, M Kupper - Journal of Mathematical Analysis and …, 2019 - Elsevier
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 …

Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach

H Pham, X Wei, C Zhou - Mathematical Finance, 2022 - Wiley Online Library
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 …

Robust SGLD algorithm for solving non-convex distributionally robust optimisation problems

A Neufeld, MNC En, Y Zhang - arXiv preprint arXiv:2403.09532, 2024 - arxiv.org
In this paper we develop a Stochastic Gradient Langevin Dynamics (SGLD) algorithm
tailored for solving a certain class of non-convex distributionally robust optimisation …

[HTML][HTML] Robust superhedging with jumps and diffusion

M Nutz - Stochastic Processes and their Applications, 2015 - Elsevier
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 …