Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity
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Publication:4554494
DOI10.1080/14697688.2018.1429647zbMath1400.91529OpenAlexW2789725246MaRDI QIDQ4554494
V. Bergen, Marcos Escobar, Rudi Zagst, Alexey N. Rubtsov
Publication date: 14 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2018.1429647
Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Portfolio theory (91G10)
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