Related papers: Nonconcave Portfolio Choice under Smooth Ambiguity

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We discuss and develop Bayesian dynamic modelling and predictive decision synthesis for portfolio analysis. The context involves model uncertainty with a set of candidate models for financial time series with main foci in sequential…

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We focus on a behavioral model, that has been recently proposed in the literature, whose rational can be traced back to the Half-Full/Half-Empty glass metaphor. More precisely, we generalize the Half-Full/Half-Empty approach to the context…

Standard selective prediction methods typically estimate uncertainty from the output of a single predictive branch. While effective for general uncertainty estimation, these approaches often struggle under partial observability, where local…

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In this paper, our aim is to investigate necessary conditions for optimal investment. We model the wealth process by Backward differential stochastic equations (shortly for BSDE) with or without constraints on wealth and portfolio process.…

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Portfolio optimization is a critical task in investment. Most existing portfolio optimization methods require information on the distribution of returns of the assets that make up the portfolio. However, such distribution information is…

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