Based on a robustness concept adapted from mathematical statistics, we investigate robust optimal investment strategies for worst-case crash scenarios when the maximum crash height is not known a priori. We specify an efficiency criterion in terms of the certainty equivalents of optimal terminal...

We consider an optimal investment problem for an investor facing both constant and proportional transaction costs and study the limit as the constant cost tends to zero. Combining the stochastic Perron's method with stability arguments for viscosity solutions, we show that the value function...

In this paper, we leverage on real-world stock market data including the relatively calm period between 2012 and 2020, the COVID-19 shock in early 2020 and the recovery during its aftermath, to investigate asset allocation strategies with risk constraints defined in terms of optimal expected...