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Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity

Published:2018-02-22 Issue:8 Volume:18 Page:1265-1294
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Bergen V.¹,Escobar M.²^ORCID,Rubtsov A.³,Zagst R.¹

Affiliation:

1. Chair of Mathematical Finance, Technical University of Munich , Parkring 11, 85748 Garching-Hochbruck, Germany.

2. Department of Statistical and Actuarial Sciences, Western University , 1151 Richmond street, London, Ontario, Canada.

3. Global Risk Institute in Financial Services , 55 University Avenue, Suite 1801, Toronto, Ontario, Canada.

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2018.1429647

Reference41 articles.

1. A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection

2. International Asset Allocation With Regime Shifts

3. Optimal Portfolios for Financial Markets with Wishart Volatility

4. Robust portfolio choice with uncertainty about jump and diffusion risk

5. Robust portfolio choice with ambiguity and learning about return predictability

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