This paper investigates the investment and reinsurance problem in the presence of stochastic volatility for an ambiguity-averse insurer (AAI) with a general concave utility function. The AAI concerns about model uncertainty and seeks for an optimal robust decision. We consider a Brownian motion...

Consider a robust retirement decision problem for a risk- and ambiguity-averse investor concerned about return ambiguity in risky asset prices. When the investor aims to maximize the worst-case scenario of his/her utility derived from consumption and bequest, we propose an optimal G-stopping...

This paper studies the mean-variance (MV) portfolio problems under static and dynamic settings, particularly for the case that the number of assets ($p$) is larger than the number of observations ($n$). We prove that the classical plug-in estimation seriously distorts the optimal MV portfolio in...

The optimal retirement decision is essentially an optimal stopping problem when retirement is irreversible. We investigate the optimal consumption, investment and retirement problem when the growth rate is unobservable and is estimated by filtering from historical stock prices. To ensure both...