We include the notion of uncertainty and incomplete information within the classical Merton’s portfolio model. Incomplete information on the set of preferences is interpreted by means of a set-valued utility function. The model is formulated as set-valued optimization problems by construction. We provide scalarization techniques and equivalent formulations to reduce the complexity. The proposed models are robust with respect to noise induced by statistical estimation or data bias. Illustrative examples show how our new formulations work.

中文翻译：

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具有广义效用的鲁棒广义Merton型金融投资组合模型

我们将不确定性和不完整信息的概念包含在经典默顿的投资组合模型中。关于偏好集的不完整信息通过设置值的效用函数来解释。该模型通过构造公式化为集值优化问题。我们提供标量化技术和等效公式以降低复杂性。所提出的模型对于统计估计或数据偏差引起的噪声具有鲁棒性。示例说明了我们新配方的工作原理。