Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities
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Publication:2820186
DOI10.1137/15M1032533zbMath1410.91415WikidataQ58980716 ScholiaQ58980716MaRDI QIDQ2820186
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)
stochastic volatility\(G\)-Brownian motionHamilton-Jacobi-Bellman-Isaacs equationambiguous correlation
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