De Franco, Carmine; Nicolle, Johann; Pham, Huyên - In: Risks 7 (2019) 1, pp. 1-18
One of the main challenges investors have to face is model uncertainty. Typically, the dynamic of the assets is modeled using two parameters: the drift vector and the covariance matrix, which are both uncertain. Since the variance/covariance parameter is assumed to be estimated with a certain...