Portfolio optimization with ambiguous correlation and stochastic volatilities
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Publication:2820186
DOI10.1137/15M1032533zbMATH Open1410.91415WikidataQ58980716 ScholiaQ58980716MaRDI QIDQ2820186FDOQ2820186
Jean-Pierre Fouque, Chi Seng Pun, Hoi Ying Wong
Publication date: 14 September 2016
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Recommendations
- Robust portfolio optimization with multi-factor stochastic volatility
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- Robust portfolio optimization with respect to spectral risk measures under correlation uncertainty
- G-expected utility maximization with ambiguous equicorrelation
- Robust portfolio optimization under stochastic interest rate and stochastic volatility framework
\(G\)-Brownian motionstochastic volatilityHamilton-Jacobi-Bellman-Isaacs equationambiguous correlation
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Cited In (46)
- Consumption-investment problem with pathwise ambiguity under logarithmic utility
- Parameter identification for portfolio optimization with a slow stochastic factor
- Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach
- Robust time-inconsistent stochastic linear-quadratic control with drift disturbance
- Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity
- G-expected utility maximization with ambiguous equicorrelation
- Markov decision processes under model uncertainty
- Markov chain approximation and measure change for time-inhomogeneous stochastic processes
- Cost-efficient monitoring of continuous-time stochastic processes based on discrete observations
- Nonconcave robust optimization with discrete strategies under Knightian uncertainty
- Optimal portfolio problem with unknown dependency structure
- A linear programming model for selection of sparse high-dimensional multiperiod portfolios
- Local wellposedness of coupled backward stochastic differential equations driven by \(G\)-Brownian motions
- Robust portfolios with commodities and stochastic interest rates
- Optimal multi-period transaction-cost-aware long-only portfolios and time consistency in efficiency
- Robust time-inconsistent stochastic control problems
- Portfolio Optimization with Stochastic Volatilities: A Backward Approach
- A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection
- Stochastic optimal control problem with obstacle constraints in sublinear expectation framework
- Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity
- Probabilistic approach to singular perturbations of viscosity solutions to nonlinear parabolic PDEs
- A generalized stochastic differential utility driven by \(G\)-Brownian motion
- Robust Markowitz mean‐variance portfolio selection under ambiguous covariance matrix
- Robust utility maximization under model uncertainty via a penalization approach
- Robust Retirement with Return Ambiguity: Optimal \(\boldsymbol{G}\)-Stopping Time in Dual Space
- Robust portfolio optimization with respect to spectral risk measures under correlation uncertainty
- Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs
- Stochastic Volatility Asymptotics for Optimal Subsistence Consumption and Investment with Bankruptcy
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- Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility
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- Model uncertainty on commodity portfolios, the role of convenience yield
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- Robust investment-reinsurance optimization with multiscale stochastic volatility
- An extended McKean-Vlasov dynamic programming approach to robust equilibrium controls under ambiguous covariance matrix
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