Portfolio optimization with ambiguous correlation and stochastic volatilities
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Publication:2820186
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Cited in
(47)- Robust Retirement with Return Ambiguity: Optimal \(\boldsymbol{G}\)-Stopping Time in Dual Space
- Markov decision processes under model uncertainty
- A linear programming model for selection of sparse high-dimensional multiperiod portfolios
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- Backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous generators
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- Duality theory for robust utility maximisation
- Robust state-dependent mean-variance portfolio selection: a closed-loop approach
- Robust investment-reinsurance optimization with multiscale stochastic volatility
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