Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities.

Jean-Pierre Fouque Chi Seng Pun Hoi Ying Wong

Published in: SIAM J. Control. Optim. (2016)

Keyphrases

portfolio optimization
stock price
stock exchange
portfolio selection
stock market
portfolio management
problems involving
robust optimization
factor analysis
bi objective
risk management
optimization methods
historical data
non stationary
financial data
news articles
optimization algorithm
financial markets