We propose a continuous maximum entropy method to investigate the robust optimal portfolio selection problem for the market with transaction costs and dividends. This robust model aims to maximize the worst-case portfolio return in the case that all of asset returns lie within some prescribed intervals. A numerical optimal solution to the problem is obtained by using a continuous maximum entropy method. Furthermore, some numerical experiments indicate that the robust model in this paper can result in better portfolio performance than a classical mean-variance model.

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This paper concerns a continuous-time portfolio selection problem with inflation in an incomplete market. By using the approach of more general stochastic linear quadratic control technique (SLQ), we obtain the optimal strategy and efficient frontier to this problem. Furthermore, a numerical example is also provided.

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