Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities (Q2820186)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities |
scientific article |
Statements
Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities (English)
0 references
14 September 2016
0 references
ambiguous correlation
0 references
\(G\)-Brownian motion
0 references
Hamilton-Jacobi-Bellman-Isaacs equation
0 references
stochastic volatility
0 references
