Portfolio optimization with ambiguous correlation and stochastic volatilities (Q2820186)
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scientific article; zbMATH DE number 6627349
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio optimization with ambiguous correlation and stochastic volatilities |
scientific article; zbMATH DE number 6627349 |
Statements
14 September 2016
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ambiguous correlation
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\(G\)-Brownian motion
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Hamilton-Jacobi-Bellman-Isaacs equation
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stochastic volatility
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Portfolio optimization with ambiguous correlation and stochastic volatilities (English)
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