Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility
From MaRDI portal
Publication:2024120
DOI10.1007/s11579-020-00271-0zbMath1461.91286OpenAlexW3034183248MaRDI QIDQ2024120
Bingyan Han, Chi Seng Pun, Tingjin Yan, Hoi Ying Wong
Publication date: 3 May 2021
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-020-00271-0
time-inconsistencymean-variance portfolio selectionHamilton-Jacobi-Bellman-Isaacs equationsdominated model uncertaintyprincipal component stochastic volatility modelstochastic covariance matrix
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