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math.OC2025
Bayesian Distributionally Robust Merton Problem with Nonlinear Wasserstein Projections
Jose Blanchet, Jiayi Cheng, Hao Liu +1
We revisit Merton's continuous-time portfolio selection through a data-driven, distributionally robust lens. Our aim is to tap the benefits of frequent trading over short horizons…
math.OC2025
Duality and Policy Evaluation in Distributionally Robust Bayesian Diffusion Control
Jose Blanchet, Jiayi Cheng, Yuewei Ling +2
We study diffusion control problems under parameter uncertainty. Controllers based on plug-in estimation can be brittle due to potential distribution shifts. Bayesian control with…