Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach
From MaRDI portal
Publication:6054412
DOI10.1111/mafi.12320zbMath1522.91233arXiv1809.01464MaRDI QIDQ6054412
No author found.
Publication date: 28 September 2023
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1809.01464
separation principleportfolio diversificationcontinuous-time Markowitz problemambiguous drift and correlationtime varying ambiguity sets
Related Items (7)
Signal-to-noise matrix and model reduction in continuous-time hidden Markov models ⋮ Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity ⋮ An extended McKean-Vlasov dynamic programming approach to robust equilibrium controls under ambiguous covariance matrix ⋮ Consumption and portfolio optimization with generalized stochastic differential utility in incomplete markets ⋮ Markov decision processes under model uncertainty ⋮ Online portfolio selection with state-dependent price estimators and transaction costs ⋮ Robust Control Problems of BSDEs Coupled with Value Functions
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A well-conditioned estimator for large-dimensional covariance matrices
- The robust Merton problem of an ambiguity averse investor
- On time-inconsistent stochastic control in continuous time
- Continuous-time stochastic control and optimization with financial applications
- Spectral GMM estimation of continuous-time processes
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Recursive construction of confidence regions
- Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs
- Continuous-time portfolio selection under ambiguity
- Optimal investments for risk- and ambiguity-averse preferences: a duality approach
- Utility maximization in incomplete markets
- Pricing Via Utility Maximization and Entropy
- Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
- Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities
- Optimal Investment under Model Uncertainty in Nondominated Models
- Time-Inconsistent Stochastic Linear--Quadratic Control
- Distributionally Robust Convex Optimization
- Continuous time mean-variance portfolio optimization through the mean field approach
- Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems
- Distributionally Robust Optimization and Its Tractable Approximations
- Adaptive Robust Control under Model Uncertainty
- TRACTABLE ROBUST EXPECTED UTILITY AND RISK MODELS FOR PORTFOLIO OPTIMIZATION
- Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization
- Information Acquisition and Under-Diversification
- Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
- Uncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio
- ROBUST UTILITY MAXIMIZATION WITH LÉVY PROCESSES
- Robust mean variance optimization problem under Rényi divergence information
- Correlation structure of extreme stock returns
- Empirical properties of asset returns: stylized facts and statistical issues
- Conic Programming Reformulations of Two-Stage Distributionally Robust Linear Programs over Wasserstein Balls
- Risk-Averse Two-Stage Stochastic Program with Distributional Ambiguity
- Robust Portfolio Control with Stochastic Factor Dynamics
- ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL
- Parameterizing correlations: a geometric interpretation
- Bayesian correlation estimation
- Robust Portfolio Selection Problems
- Dynamic Programming for Optimal Control of Stochastic McKean--Vlasov Dynamics
- Robust Markowitz mean‐variance portfolio selection under ambiguous covariance matrix
This page was built for publication: Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach
