Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility (Q2024120)
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scientific article; zbMATH DE number 7342898
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility |
scientific article; zbMATH DE number 7342898 |
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Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility (English)
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3 May 2021
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time-inconsistency
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dominated model uncertainty
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mean-variance portfolio selection
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stochastic covariance matrix
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principal component stochastic volatility model
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Hamilton-Jacobi-Bellman-Isaacs equations
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