This paper concerns optimal investment and consumption with CRRA utility when there is event risk. Events are modeled by transitions in a finite state Markov chain, but unlike traditional regime switching models, transitions not only change the instantaneous return statistics but are accompanied...

In this paper, we introduce a new approach for finding robust portfolios when there is model uncertainty. It differs from the usual worst case approach in that a (dynamic) portfolio is evaluated not only by its performance when there is an adversarial opponent (quot;naturequot;), but also by its...

This paper concerns dynamic pricing of multiple perishable products when there is model uncertainty, which we formulate as a worst-case stochastic intensity control problem where ambiguity is modeled using the notion of relative entropy. One feature of our formulation is that the demand models...