A new portfolio selection framework is introduced where the investor seeks the allocation that is as close as possible to his "ideal" portfolio. To build such a portfolio selection framework, the f-divergence measure from information theory is used. There are many advantages to using the...

This paper proposes a worst-case approach for estimating econometric models containing unobservable variables. Worst-case estimators are robust against the averse effects of unobservables and, unlike the classical literature, there are no assumptions made about the statistical nature of the...

In this paper we present an algorithm for continuous minimax problem where a quasi--Newton direction conditional on appropriate maximizers is used. The direction involves a quadratic subproblem to compute the minimum norm subgradient. An application of the algorithm to a monetary policy design...