Based on the axiomatic framework of Choquet decision theory, we develop a closed-form model of Bayesian learning with ambiguous beliefs about the mean of a normal distribution. In contrast to rational models of Bayesian learning the resulting Choquet Bayesian estimator results in a long-run bias...

We develop in this paper a novel portfolio selection framework with a feature of double robustness in both return distribution modeling and portfolio optimization. While predicting the future return distributions always represents the most compelling challenge in investment, any underlying...