This paper provides the first optimal portfolio analysis for a constant relative risk-averse and
ambiguity-averse investor under the state-of-the-art 4/2 stochastic volatility model in a …

In response to the unprecedented uncertain rare events of the last decade, we derive an
optimal portfolio choice problem in a semi-closed form by integrating price diffusion …

In the traditional portfolio models, the return rates of risky assets are usually defined as
random variables or fuzzy variables. However, when some events such as financial crises or …

This paper considers a mean–variance–utility portfolio problem in which the investor
manages her/his wealth by consuming and investing in a financial market consisting of a risk …

This paper examines a consumption-portfolio allocation and information trading problem
with recursive utility in continuous time when stock returns are unobservable and when …

This paper considers a robust optimal portfolio problem under Heston model in which the
risky asset price is related to the historical performance. The finance market includes a …

In this paper, a new robust time-inconsistent stochastic optimal control problem is
investigated under a general jump-diffusion model. Such a problem can be described as a …

This paper studies a discrete-time portfolio optimization problem, wherein the underlying
risky asset follows a Lévy GARCH model. Besides a Gaussian noise, the framework allows …

In this paper, we propose a new class of optimization problems, which maximize the terminal
wealth and accumulated consumption utility subject to a mean–variance criterion controlling …

In response to the unprecedented uncertain rare events of the last decade, we derive an
optimal portfolio choice problem in a semi-closed form by integrating price diffusion …