We consider an investor who faces parameter uncertainty in a continuous-time financial market. We model the investor's preference by a power utility function leading to constant relative risk aversion. We show that the loss in expected utility is large when using a simple plug-in strategy for...

This paper presents a framework for portfolio optimization that makes three departures from the traditional mean-variance approach. First, we optimize the portfolio over multiple horizons, reflecting the belief that long-term investors care about intertemporal gains and losses, as well as...

We study the optimal design of financial structured portfolios (equity or index linked notes) within the utility with ambiguity framework. We analyze some of these products with respect to investor's attitude towards risk, including ambiguity. These financial products usually involve derivative...

We examine asset allocation decisions under smooth ambiguity aversion when an investor has a prior degree of belief in an asset pricing model (e.g., the domestic CAPM). Different from a Bayesian approach, the investor separately relies on the conditional distribution of returns and on the...

In the context of decentralized portfolio optimization, understanding how to distribute a fixed budget among decentralized intermediaries is a relevant investment problem, that has been recently introduced in the mathematical economics literature. While existing contributions focus on incentive...