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math.OC2026
Robust Bayesian Portfolio Optimization with Discrepancy-based Posterior Ambiguity
Zongxia Liang, Yang Liu, Xingjian Ma
We study a continuous-time robust Bayesian portfolio optimization problem under drift uncertainty of risky assets. The investor learns unknown asset drifts through Bayesian filteri…
math.OC2025
Robust Utility Maximization with Intractable Claims under Distributional Ambiguity: A Random Distributionally Robust Optimization Approach
Guohui Guan, Zongxia Liang, Xingjian Ma
This paper studies a robust utility maximization problem for intractable claims under distributional ambiguity, where the distribution of the claim cannot be inferred from market i…