2 citations · 2 across the 2 of their papers we have counts for
2 papers
q-fin.PM2023
Optimal portfolio allocation with uncertain covariance matrix
Maxime Markov, Vladimir Markov
In this paper, we explore the portfolio allocation problem involving an uncertain covariance matrix. We calculate the expected value of the Constant Absolute Risk Aversion (CARA) u…
q-fin.PM2023★ 2 cited
Portfolio Optimization Rules beyond the Mean-Variance Approach
Maxime Markov, Vladimir Markov
In this paper, we revisit the relationship between investors' utility functions and portfolio allocation rules. We derive portfolio allocation rules for asymmetric Laplace distribu…