The robust Merton problem of an ambiguity averse investor

Optimum consumption and portfolio rules in a continuous-time model

Robert C. Merton · Journal of Economic Theory · 1971 · 6.1K citations

Mathematical Programming, Economics, Portfolio Optimization +9

The equity premium: A puzzle

Rajnish Mehra, Edward C. Prescott · Journal of Monetary Economics · 1985 · 5.7K citations

Empirical Finance, Financial Economics, Asset Pricing +4

Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case

Robert C. Merton · The Review of Economics and Statistics · 1969 · 5.3K citations

Portfolio Choice, Asset Pricing, Consumption Rules +18

Robust Convex Optimization

Aharon Ben‐Tal, Arkadi Nemirovski · Mathematics of Operations Research · 1998 · 2.6K citations

Mathematical Programming, Engineering, Data Science +12

Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems

Erick Delage, Yinyu Ye · Operations Research · 2010 · 1.8K citations

Mathematical Programming, Engineering, Random Vector +26