Nonconcave Portfolio Choice under Smooth Ambiguity

By Emanuele Borgonovo, An Chen, Massimo Marinacci, Shihao Zhu

Published 2026-03-10

Everscope rating

1966.2

Relevance to quantitative trading

8 / 10

Implementation complexity

9 / 10

Reproducibility

3 / 5

About this paper

Methodology: Robust Representation with Concavification and Nonlinear Filtering. Problem types: Portfolio Optimization, Optimization, Risk Management.

arXiv:2603.08552 · Paper rankings

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