Computing the optimal portfolio policy of an investor facing capital gains tax is a challenging problem: because the tax to be paid depends on the price at which the security was purchased (the tax basis), the optimal policy is path dependent and the size of the problem grows exponentially with...

In this paper, we extend the mean-variance portfolio model where expected returns are obtained using maximum likelihood estimation to explicitly account for uncertainty about the estimated expected returns. In contrast to the Bayesian approach to estimation error, where there is only a single...

We develop a model for an investor with multiple priors and aversion to ambiguity. We characterize the multiple priors by a quot;confidence intervalquot; around the estimated expected returns and we model ambiguity aversion via a minimization over the priors. Our model has several attractive...