We consider a broad class of dynamic portfolio optimization problems that allow for complex models of return predictability, transaction costs, trading constrai

This paper develops a framework for constructing portfolios with superior out-of-sample performance in the presence of estimation errors. Our framework relies o

This book presents solutions to the general problem of single period portfolio optimization. It introduces different linear models, arising from different perfo

We study two important generalizations of dynamic portfolio choice problems: a portfolio choice problem with market impact costs and a portfolio choice problem

The scope of this volume is primarily to analyze from different methodological perspectives similar valuation and optimization problems arising in financial app