Bayesian Distributionally Robust Merton Problem with Nonlinear Wasserstein Projections

By Jose Blanchet, Jiayi Cheng, Hao Liu, Yang Liu

Published 2026-08-14

Everscope rating

1867.5

Relevance to quantitative trading

9 / 10

Implementation complexity

8 / 10

Reproducibility

3 / 5

About this paper

Methodology: Distributionally Robust Bayesian Control (DRBC) with Wasserstein Prior Ambiguity. Problem types: Portfolio Optimization, Risk Management, Optimization, Stochastic Control.

arXiv:2512.01408 · Paper rankings

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