Robust mean variance portfolio selection model in the jump-diffusion financial market with an intractable claim
From MaRDI portal
(Redirected from Publication:5356918)
Recommendations
- A robust Markowitz mean-variance portfolio selection model with an intractable claim
- Dynamic mean-variance portfolio selection in market with jump-diffusion models
- Mean-variance portfolio selection in Markov-switching jump-diffusion market for risk model
- Mean-variance portfolio selection with a stochastic cash flow in a Markov-switching jump-diffusion market
- Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility
- Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix
- On robust mean-variance portfolios
- Continuous-time mean-variance portfolio optimization in a jump-diffusion market
- A robust mean absolute deviation model for portfolio optimization
- Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity
Cited in
(7)- A robust Markowitz mean-variance portfolio selection model with an intractable claim
- Analysis of optimal portfolio on finite and small-time horizons for a stochastic volatility market model
- Mean-variance problem for an insurer with dependent risks and stochastic interest rate in a jump-diffusion market
- Robust optimal R\&D investment under technical uncertainty in a regime-switching environment
- Behavioral robust mean-variance portfolio selection with an intractable claim
- Multi-objective robust cross-market mixed portfolio optimization under hierarchical risk integration
- Robust portfolio optimization: a categorized bibliographic review
This page was built for publication: Robust mean variance portfolio selection model in the jump-diffusion financial market with an intractable claim
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5356918)
