Robust time-consistent mean–variance portfolio selection problem with multivariate stochastic volatility
Author:
Funder
Ministry of Education, Singapore
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Finance,Statistics and Probability
Link
https://link.springer.com/content/pdf/10.1007/s11579-020-00271-0.pdf
Reference38 articles.
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3. Basak, S., Chabakauri, G.: Dynamic mean–variance asset allocation. Rev. Financ. Stud. 23, 2970–3016 (2010)
4. Biagini, S., Pınar, M.Ç.: The robust Merton problem of an ambiguity averse investor. Math. Financ. Econ. 11, 1–24 (2017)
5. Bergen, V., Escobar, M., Rubtsov, A., Zagst, R.: Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity. Quant. Financ. 18, 1265–1294 (2018)
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