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q-fin.PM2026
Ex Ante and Scenario-Conditional Value of Information in Dynamic Portfolio Choice
Tom Pohlschmidt, Shihao Zhu
Portfolio decisions are often made under uncertainty about expected returns, and investors revise their beliefs as new information arrives. Although richer information generally ca…
q-fin.PM2026
Nonconcave Portfolio Choice under Smooth Ambiguity
Emanuele Borgonovo, An Chen, Massimo Marinacci +1
We study continuous-time portfolio choice with nonlinear payoffs under smooth ambiguity and Bayesian learning. We develop a general framework for dynamic, non-concave asset allocat…