Portfolio optimization with ambiguous correlation and stochastic volatilities (Q2820186)
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scientific article; zbMATH DE number 6627349
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| default for all languages | No label defined |
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| English | Portfolio optimization with ambiguous correlation and stochastic volatilities |
scientific article; zbMATH DE number 6627349 |
Statements
14 September 2016
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ambiguous correlation
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\(G\)-Brownian motion
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Hamilton-Jacobi-Bellman-Isaacs equation
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stochastic volatility
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Portfolio optimization with ambiguous correlation and stochastic volatilities (English)
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0.8123120069503784
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0.8055427670478821
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0.7875685095787048
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0.7852230072021484
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