Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach
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DOI: 10.1111/mafi.12320
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Cited by:
- Lin, Qian & Luo, Yulei & Sun, Xianming, 2022. "Robust investment strategies with two risky assets," Journal of Economic Dynamics and Control, Elsevier, vol. 134(C).
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More about this item
Keywords
Continuous-time Markowitz problem; model uncertainty; ambiguous drift and correlation; separation principle; portfolio diversification; time varying ambiguity sets; portfolio diversication; G11; C61 MSC Classification: 91G10; 91G80; 60H30 Continuous-time Markowitz problem;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2018-09-17 (Risk Management)
- NEP-SEA-2018-09-17 (South East Asia)
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