Mean-variance portfolio selection with correlation risk
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Publication:2252429
DOI10.1016/j.cam.2013.12.050zbMath1291.91190OpenAlexW2042704439WikidataQ58980880 ScholiaQ58980880MaRDI QIDQ2252429
Publication date: 17 July 2014
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2013.12.050
mean-variance portfolio theorycorrelation riskWishart processstochastic covariance matrixpre-commitment policy
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