Robust Markowitz mean‐variance portfolio selection under ambiguous covariance matrix
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Publication:5743121
DOI10.1111/mafi.12169zbMath1411.91511arXiv1610.06805MaRDI QIDQ5743121
Publication date: 8 May 2019
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1610.06805
dynamic programming; Wasserstein space; McKean-Vlasov; ambiguous correlation; continuous-time Markowitz problem; covariance matrix uncertainty