Portfolio diversification and model uncertainty : a robust dynamic mean-variance approach
Huyên Pham, Xiaoli Wei, Chao Zhou
| Year of publication: |
2022
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| Authors: | Pham, Huyên ; Wei, Xiaoli ; Zhou, Chao |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial economics. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1467-9965, ZDB-ID 1481288-5. - Vol. 32.2022, 1, p. 349-404
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| Subject: | ambiguous drift and correlation | continuous-time Markowitz problem | portfolio diversification | separation principle | time varying ambiguity sets | Portfolio-Management | Portfolio selection | Theorie | Theory | Entscheidung unter Unsicherheit | Decision under uncertainty | Korrelation | Correlation | Portfoliodiversifikation | Portfolio diversification |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/mafi.12320 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012815967