Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity
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Cites work
- A closed-form solution for options with ambiguity about stochastic volatility
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A multivariate stochastic volatility model with applications in the foreign exchange market
- A solution approach to valuation with unhedgeable risks
- Dynamic portfolio choice under ambiguity and regime switching mean returns
- Estimating the Wishart affine stochastic correlation model using the empirical characteristic function
- Hedging (co)variance risk with variance swaps
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- Optimal investment under multi-factor stochastic volatility
- Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
- Optimal portfolios for financial markets with Wishart volatility
- Optimal portfolios with stochastic interest rates and defaultable assets.
- Optimum consumption and portfolio rules in a continuous-time model
- Portfolio management with stochastic interest rates and inflation ambiguity
- Portfolio optimization with ambiguous correlation and stochastic volatilities
- Risk minimizing portfolios and HJBI equations for stochastic differential games
- Risk, ambiguity and the Savage axioms
- Robust portfolio choice with stochastic interest rates
- Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
- Robustness and Ambiguity Aversion in General Equilibrium *
- Smooth solutions to optimal investment models with stochastic volatilities and portfolio constraints
- The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
Cited in
(18)- On robust portfolio and naïve diversification: mixing ambiguous and unambiguous assets
- Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility
- Model uncertainty on commodity portfolios, the role of convenience yield
- Robust consumption portfolio optimization with stochastic differential utility
- Robust consumption and portfolio choice with derivatives trading
- Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity
- Ambiguous Risk Measures and Optimal Robust Portfolios
- Robust portfolio selection involving options under a ``marginal+joint ellipsoidal uncertainty set
- Optimal investment under multi-factor stochastic volatility
- Data-driven robust mean-CVaR portfolio selection under distribution ambiguity
- Robust portfolio choice with stochastic interest rates
- Robust portfolios with commodities and stochastic interest rates
- Robust control in a rough environment
- International portfolio choice under multi-factor stochastic volatility
- Adaptive robust control in continuous time
- A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions
- Robust portfolio optimization with multi-factor stochastic volatility
- Robust portfolio optimization: a categorized bibliographic review
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