Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach (Q6054412)
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scientific article; zbMATH DE number 7743066
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach |
scientific article; zbMATH DE number 7743066 |
Statements
Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach (English)
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28 September 2023
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ambiguous drift and correlation
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continuous-time Markowitz problem
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portfolio diversification
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separation principle
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time varying ambiguity sets
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