This paper considers the continuous-time mean-variance portfolio selection problem in a financial market in which asset prices are cointegrated. The asset price dynamics are then postulated as the diffusion limit of the corresponding discrete-time error-correction model of cointegrated time...

We develop in this paper a novel portfolio selection framework with a feature of double robustness in both return distribution modeling and portfolio optimization. While predicting the future return distributions always represents the most compelling challenge in investment, any underlying...

We develop a formal model to investigate the implications of bounded rationality for the origin and structure of loss aversion and optimism in marketplaces. Based on Simon's original description, we explicitly model bounded rationality as a decision mechanism that captures incomplete...