Robust Markowitz mean‐variance portfolio selection under ambiguous covariance matrix (Q5743121): Difference between revisions

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Latest revision as of 04:37, 19 July 2024

scientific article; zbMATH DE number 7052625
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English
Robust Markowitz mean‐variance portfolio selection under ambiguous covariance matrix
scientific article; zbMATH DE number 7052625

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    Robust Markowitz mean‐variance portfolio selection under ambiguous covariance matrix (English)
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    8 May 2019
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    ambiguous correlation
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    continuous-time Markowitz problem
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    covariance matrix uncertainty
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    dynamic programming
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    McKean-Vlasov
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    Wasserstein space
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