90 citations · 167 across the 23 of their papers we have counts for
Showing 2018 · q-fin.PMShow all
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q-fin.PM2018
Bayesian learning for the Markowitz portfolio selection problem
Carmine De Franco, Johann Nicolle, Huyên Pham
We study the Markowitz portfolio selection problem with unknown drift vector in the multidimensional framework. The prior belief on the uncertain expected rate of return is modeled…
q-fin.PM2018
Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach
Huyen Pham, Xiaoli Wei, Chao Zhou
This paper focuses on a dynamic multi-asset mean-variance portfolio selection problem under model uncertainty. We develop a continuous time framework for taking into account ambigu…