3 papers
q-fin.MF2026
Behavioral Participating Insurance: Optimal Investment under Probability Distortion and Aspiration Constraints
Hao Liu, Yang Liu, Zhenyu Shen
We study optimal investment for insurers managing participating (profit-sharing) contracts under probability distortion and probability benchmark (aspiration) constraints. The prob…
math.OC2026
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…
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…