Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility
Tingjin Yan, Bingyan Han, Chi Seng Pun, Hoi Ying Wong
| Year of publication: |
2020
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|---|---|
| Authors: | Yan, Tingjin ; Han, Bingyan ; Pun, Chi Seng ; Wong, Hoi Ying |
| Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9679, ZDB-ID 2389728-4. - Vol. 14.2020, 4, p. 699-724
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| Subject: | Time-inconsistency | Dominated model uncertainty | Mean-variance portfolio selection | Stochastic covariance matrix | Principal component stochastic volatility model | Hamilton-Jacobi-Bellman-Isaacs equations | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Korrelation | Correlation | CAPM | Schätztheorie | Estimation theory | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11579-020-00271-0 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012321867