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Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix

Author

Listed:
  • Amine Ismail
  • Huyên Pham

    (UPD7 - Université Paris Diderot - Paris 7, LPSM (UMR_8001) - Laboratoire de Probabilités, Statistique et Modélisation - UPD7 - Université Paris Diderot - Paris 7 - SU - Sorbonne Université - CNRS - Centre National de la Recherche Scientifique)

Abstract

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Suggested Citation

  • Amine Ismail & Huyên Pham, 2019. "Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix," Post-Print hal-03947497, HAL.
    • Handle: RePEc:hal:journl:hal-03947497
    DOI: 10.1111/mafi.12169
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    Cited by:

    1. Jin Yuan & Xianghui Yuan, 2023. "A Best Linear Empirical Bayes Method for High-Dimensional Covariance Matrix Estimation," SAGE Open, , vol. 13(2), pages 21582440231, June.
    2. Bingyan Han & Chi Seng Pun & Hoi Ying Wong, 2023. "Robust Time-inconsistent Linear-Quadratic Stochastic Controls: A Stochastic Differential Game Approach," Papers 2306.16982, arXiv.org, revised Sep 2024.
    3. Živkov, Dejan & Balaban, Suzana & Simić, Milica, 2024. "Hedging gas in a multi-frequency semiparametric CVaR portfolio," Research in International Business and Finance, Elsevier, vol. 67(PA).

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