Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach
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Publication:6054412
DOI10.1111/mafi.12320zbMath1522.91233arXiv1809.01464MaRDI QIDQ6054412
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Publication date: 28 September 2023
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1809.01464
separation principleportfolio diversificationcontinuous-time Markowitz problemambiguous drift and correlationtime varying ambiguity sets
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