Robust Markowitz mean‐variance portfolio selection under ambiguous covariance matrix (Q5743121)
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scientific article; zbMATH DE number 7052625
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust Markowitz mean‐variance portfolio selection under ambiguous covariance matrix |
scientific article; zbMATH DE number 7052625 |
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Robust Markowitz mean‐variance portfolio selection under ambiguous covariance matrix (English)
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8 May 2019
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ambiguous correlation
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continuous-time Markowitz problem
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covariance matrix uncertainty
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dynamic programming
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McKean-Vlasov
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Wasserstein space
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