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"Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities."

Jean-Pierre Fouque, Chi Seng Pun, Hoi Ying Wong (2016)

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DOI: 10.1137/15M1032533

access: closed

type: Journal Article

metadata version: 2020-07-09

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  - journals/siamco/FouquePW16
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  - https://dblp.org/rec/journals/siamco/FouquePW16
Jean-Pierre Fouque, Chi Seng Pun, Hoi Ying Wong:
Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities. SIAM J. Control. Optim. 54(5): 2309-2338 (2016)

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