Pages that link to "Item:Q2820186"

The following pages link to Portfolio optimization with ambiguous correlation and stochastic volatilities (Q2820186):

Displaying 47 items.

• Robust portfolio optimization with multi-factor stochastic volatility (Q779874) (← links)
• A linear programming model for selection of sparse high-dimensional multiperiod portfolios (Q1622825) (← links)
• Robust time-inconsistent stochastic control problems (Q1797115) (← links)
• Nonconcave robust optimization with discrete strategies under Knightian uncertainty (Q2009179) (← links)
• Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility (Q2024120) (← links)
• Backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous generators (Q2031004) (← links)
• Duality theory for robust utility maximisation (Q2049550) (← links)
• Robust state-dependent mean-variance portfolio selection: a closed-loop approach (Q2049552) (← links)
• Optimal dynamic mean-variance portfolio subject to proportional transaction costs and no-shorting constraint (Q2059371) (← links)
• Model uncertainty on commodity portfolios, the role of convenience yield (Q2063057) (← links)
• Robust consumption portfolio optimization with stochastic differential utility (Q2065170) (← links)
• Parameter identification for portfolio optimization with a slow stochastic factor (Q2101109) (← links)
• Robust utility maximization under model uncertainty via a penalization approach (Q2120592) (← links)
• Robust portfolio optimization with respect to spectral risk measures under correlation uncertainty (Q2152585) (← links)
• Portfolio concentration, portfolio inertia, and ambiguous correlation (Q2155229) (← links)
• A generalized stochastic differential utility driven by \(G\)-Brownian motion (Q2190068) (← links)
• Local wellposedness of coupled backward stochastic differential equations driven by \(G\)-Brownian motions (Q2236007) (← links)
• Probabilistic approach to singular perturbations of viscosity solutions to nonlinear parabolic PDEs (Q2238887) (← links)
• Stochastic optimal control problem with obstacle constraints in sublinear expectation framework (Q2275319) (← links)
• Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs (Q2312400) (← links)
• Consumption-investment problem with pathwise ambiguity under logarithmic utility (Q2323332) (← links)
• Robust investment-reinsurance optimization with multiscale stochastic volatility (Q2347077) (← links)
• Demand for longevity securities under relative performance concerns: stochastic differential games with cointegration (Q2374128) (← links)
• Robust dynamic pairs trading with cointegration (Q2417107) (← links)
• Optimal portfolio problem with unknown dependency structure (Q2507949) (← links)
• Markov chain approximation and measure change for time-inhomogeneous stochastic processes (Q2662572) (← links)
• Robust time-inconsistent stochastic linear-quadratic control with drift disturbance (Q2673512) (← links)
• Robust retirement and life insurance with inflation risk and model ambiguity (Q2700072) (← links)
• Resolution of Degeneracy in Merton's Portfolio Problem (Q2953941) (← links)
• Portfolio Optimization with Stochastic Volatilities: A Backward Approach (Q3094218) (← links)
• Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity (Q4554494) (← links)
• Robust Utility Maximization in Discrete-Time Markets with Friction (Q4563374) (← links)
• A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection (Q4988547) (← links)
• <i>G</i>-expected utility maximization with ambiguous equicorrelation (Q4991082) (← links)
• Robust portfolios with commodities and stochastic interest rates (Q5014231) (← links)
• Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity (Q5097217) (← links)
• A general optimization framework for the annuity contracts with multiscale stochastic volatility (Q5193460) (← links)
• Stochastic Volatility Asymptotics for Optimal Subsistence Consumption and Investment with Bankruptcy (Q5215987) (← links)
• Robust Markowitz mean‐variance portfolio selection under ambiguous covariance matrix (Q5743121) (← links)
• Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach (Q6054412) (← links)
• An extended McKean-Vlasov dynamic programming approach to robust equilibrium controls under ambiguous covariance matrix (Q6072101) (← links)
• Robust Retirement with Return Ambiguity: Optimal \(\boldsymbol{G}\)-Stopping Time in Dual Space (Q6101528) (← links)
• Consumption and portfolio optimization with generalized stochastic differential utility in incomplete markets (Q6131470) (← links)
• Markov decision processes under model uncertainty (Q6146671) (← links)
• Optimal multi-period transaction-cost-aware long-only portfolios and time consistency in efficiency (Q6158404) (← links)
• Optimal investment and consumption with forward preferences and uncertain parameters (Q6543812) (← links)
• Cost-efficient monitoring of continuous-time stochastic processes based on discrete observations (Q6579516) (← links)