Finding the worst-case value of a preference over a set of plausible models is a well-established approach to address the issue of model uncertainty or ambiguity. In this paper, we study the worst-case evaluation of Yaari's dual utility functionals of an aggregate risk under dependence...

This paper analyzes the optimal investment policies of rank-dependent utility maximizing investor who must manage the risk exposure using a general law- invariant risk measure such as Value-at-Risk and tail Value-at-Risk. The analytic optimal solution is obtained via the so-called quantile...

This paper studies a mean-risk portfolio choice problem for log-returns in a continuous-time, complete market. It is a growth-optimal portfolio choice problem under risk control. The risk of log-returns is measured by weighted Value-at-Risk (WVaR), which is a generalization of Value-at-Risk...