Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities-Reference-Cited by-同舟云学术

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Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities

Published:2016-01 Issue:5 Volume:54 Page:2309-2338
ISSN:0363-0129
Container-title:SIAM Journal on Control and Optimization
language:en
Short-container-title:SIAM J. Control Optim.

Author:

Fouque Jean-Pierre,Pun Chi Seng,Wong Hoi Ying

Funder

National Research Foundation of South Africa

Claude Leon Foundation of South Africa

National Natural Science Foundation of China

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Control and Optimization

Link

http://epubs.siam.org/doi/pdf/10.1137/15M1032533

Reference20 articles.

1. High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data

2. Pricing and hedging derivative securities in markets with uncertain volatilities

3. Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations

4. Correlation Risk and Optimal Portfolio Choice

5. Ambiguity, Risk, and Asset Returns in Continuous Time

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