Integrating a Value-at-Risk constraint on a fund manager's wealth and ambiguity, we present a model of optimal portfolio choice for a fund manager who allocates her wealth between risky and riskless assets. When a fund manager controls asset composition, her reactions di er with respect to an...

In this paper, we derive optimal investment policies at the industry portfolio level under the stochastic investment opportunities of dynamic and asymmetric properties. For this purpose, we present a new model of intertemporal dynamic portfolio choice as well as non-myopic optimal consumption...

In this paper we generalize the following result of Yaari (1965) on annuitization with an agent's optimal retirement: it is optimal for individuals to annuitize all of their wealth in the absence of bequest motive. We have other results that refine or extend the result of Yaari (1965). Full...

We find robust portfolio rules for ambiguity-averse fund managers in a financial market with proportional transaction costs. The model proposed in this paper permits a liquidity premium much bigger than those found by most empirical literature. Our liquidity premium is much bigger when using...