most citedRobust Markowitz mean-variance portfolio selection under ambiguous covariance matrix *

2 citations · 2 across the 1 of their papers we have counts for

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q-fin.PM2016★ 2 cited

Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix *

Amine Ismail, Huyên Pham

This paper studies a robust continuous-time Markowitz portfolio selection pro\-blem where the model uncertainty carries on the covariance matrix of multiple risky assets. This prob…