This paper studies a class of robust mean-variance portfolio selection problems with state-dependent risk aversion. Model uncertainty, in the sense of considering alternative dominated models, is introduced to the problem to reflect the investor's ambiguity aversion. To characterize the robust...

In a continuous-time economy, we investigate the asset allocation problem among a risk-free asset and two risky assets with an ambiguous correlation between the two risky assets. The portfolio selection that is robust to the uncertain correlation is formulated as the utility maximization problem...

While cointegration models with constant parameters generate statistical arbitrage, the cointegration feature may change and even disappear due to regime shifts. This paper studies the time-consistent mean-variance portfolio problem in a Markov-modulated regime switching cointegration economy....

This paper proposes a regression-based simulation algorithm for multi-period mean-variance portfolio (MVP) optimization problems with constraints under a high-dimensional setting. We show that the least-squares Monte Carlo (LSMC) algorithm for portfolio optimization is either unstable or...

We formulate the open-loop control framework for time-consistent mean-variance (TCMV) portfolio problems in incomplete markets with stochastic volatility (SV). We offer the existence and uniqueness results of the TCMV equilibrium controls for general SV models and derive explicit closed-form...