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Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix

  • Published:2018-02-11 Issue:1 Volume:29 Page:174-207
  • ISSN:0960-1627
  • Container-title:Mathematical Finance
  • language:en
  • Short-container-title:Mathematical Finance

Author:

Ismail Amine12,Pham Huyên23

Affiliation:

1. Natixis; Equity Markets

2. LPMA; Université Paris-Diderot

3. CREST-ENSAE

Funder

CAESARS

FiME

Finance and Sustainable Development

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Reference42 articles.

1. High frequency covariance estimates with noisy and asynchronous financial data;Ait-Sahalia;Journal of American Statistical Association,2010

2. A maximum principle for SDEs of mean-field type;Andersson;Applied Mathematics and Optimization,2011

3. Pricing and hedging derivative securities in markets with uncertain volatilities;Avellaneda;Applied Mathematical Finance,1995

4. Ergodicity of robust switching control and nonlinear system of quasi variational inequalities;Bayraktar;SIAM Journal on Control and Optimization,2017

5. Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics;Bayraktar;Transactions of the American Mathematical Society,2018

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