In typical robust portfolio selection problems, one mainly finds portfolios with the worst-case return under a given uncertainty set, in which asset returns can be realized. A too large uncertainty set will lead to a too conservative robust portfolio. However, if the given uncertainty set is not...

This paper develops a debt renegotiation model with positive externalities by using Nash bargaining game and explores dynamic optimal downward debt restructure policies in financial distress. A novel feature of our model is the positive externalities, which imply that liquidation threat offered...

We study how investors' preferences for robustness influence corporate investment, financing, and compensation decisions and valuation in a financial contracting model with agency. We characterize the robust contract and show that early liquidation can be optimal when investors are sufficiently...