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Robust Markowitz mean‐variance portfolio selection under ambiguous covariance matrix

Citations

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Cited by:

  1. Eduardo Abi Jaber & Enzo Miller & Huy^en Pham, 2020. "Markowitz portfolio selection for multivariate affine and quadratic Volterra models," Papers 2006.13539, arXiv.org, revised Jan 2021.
  2. William Lefebvre & Gregoire Loeper & Huy^en Pham, 2020. "Mean-variance portfolio selection with tracking error penalization," Papers 2009.08214, arXiv.org, revised Sep 2020.
  3. Ben-Zhang Yang & Xiaoping Lu & Guiyuan Ma & Song-Ping Zhu, 2020. "Robust Portfolio Optimization with Multi-Factor Stochastic Volatility," Journal of Optimization Theory and Applications, Springer, vol. 186(1), pages 264-298, July.
  4. Willliam Lefebvre & Gregoire Loeper & Huyên Pham, 2020. "Mean-variance portfolio selection with tracking error penalization," Working Papers hal-02941289, HAL.
  5. Ariel Neufeld & Julian Sester & Mario Šikić, 2023. "Markov decision processes under model uncertainty," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 618-665, July.
  6. Bingyan Han, 2022. "Distributionally robust risk evaluation with a causality constraint and structural information," Papers 2203.10571, arXiv.org, revised Jun 2025.
  7. Daniel Bartl & Michael Kupper & Ariel Neufeld, 2021. "Duality theory for robust utility maximisation," Finance and Stochastics, Springer, vol. 25(3), pages 469-503, July.
  8. Huyên Pham & Xiaoli Wei & Chao Zhou, 2022. "Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach," Mathematical Finance, Wiley Blackwell, vol. 32(1), pages 349-404, January.
  9. Jingyi Cao & Dongchen Li & Virginia R. Young & Bin Zou, 2025. "Equilibrium Strategies for Singular Dividend Control Problems under the Mean-Variance Criterion," Papers 2511.08433, arXiv.org.
  10. Sadegh Miri & Erfan Salavati & Mostafa Shamsi, 2025. "Robust Portfolio Selection Under Model Ambiguity Using Deep Learning," IJFS, MDPI, vol. 13(1), pages 1-18, March.
  11. Alain Bensoussan & Joohyun Kim & Bohan Li & Sheung Chi Phillip Yam, 2025. "Linear Quadratic Extended Mean Field Games and Control Problems," Journal of Optimization Theory and Applications, Springer, vol. 206(2), pages 1-47, August.
  12. Eduardo Abi Jaber & Enzo Miller & Huyên Pham, 2021. "Markowitz portfolio selection for multivariate affine and quadratic Volterra models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02877569, HAL.
  13. Ariel Neufeld & Julian Sester, 2024. "Non-concave stochastic optimal control in finite discrete time under model uncertainty," Papers 2404.05230, arXiv.org, revised May 2025.
  14. Bingyan Han & Chi Seng Pun & Hoi Ying Wong, 2023. "Robust Time-inconsistent Linear-Quadratic Stochastic Controls: A Stochastic Differential Game Approach," Papers 2306.16982, arXiv.org, revised Apr 2025.
  15. Shuzhen Yang, 2020. "Bellman type strategy for the continuous time mean-variance model," Papers 2005.01904, arXiv.org, revised Jul 2020.
  16. Jian-hao Kang & Nan-jing Huang & Ben-Zhang Yang & Zhihao Hu, 2025. "Robust Equilibrium Strategy for Mean–Variance–Skewness Portfolio Selection Problem with Long Memory," Journal of Optimization Theory and Applications, Springer, vol. 206(2), pages 1-47, August.
  17. Eduardo Abi Jaber & Enzo Miller & Huyên Pham, 2021. "Markowitz portfolio selection for multivariate affine and quadratic Volterra models," Post-Print hal-02877569, HAL.
  18. Carmine De Franco & Johann Nicolle & Huyên Pham, 2019. "Bayesian Learning For The Markowitz Portfolio Selection Problem," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(07), pages 1-40, November.
  19. Ren'e Aid & Ofelia Bonesini & Giorgia Callegaro & Luciano Campi, 2021. "A McKean-Vlasov game of commodity production, consumption and trading," Papers 2111.04391, arXiv.org.
  20. William Lefebvre & Grégoire Loeper & Huyên Pham, 2020. "Mean-Variance Portfolio Selection with Tracking Error Penalization," Mathematics, MDPI, vol. 8(11), pages 1-23, November.
  21. Bingyan Han & Chi Seng Pun & Hoi Ying Wong, 2021. "Robust state-dependent mean–variance portfolio selection: a closed-loop approach," Finance and Stochastics, Springer, vol. 25(3), pages 529-561, July.
  22. Masashi Ieda, 2022. "Continuous-Time Portfolio Optimization for Absolute Return Funds," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(4), pages 675-696, December.
  23. Eduardo Abi Jaber & Enzo Miller & Huyên Pham, 2020. "Markowitz portfolio selection for multivariate affine and quadratic Volterra models," Working Papers hal-02877569, HAL.
  24. Maximilien Germain & Mathieu Laurière & Huyên Pham & Xavier Warin, 2022. "DeepSets and their derivative networks for solving symmetric PDEs ," Post-Print hal-03154116, HAL.
  25. Daniel Bartl & Michael Kupper & Ariel Neufeld, 2020. "Duality Theory for Robust Utility Maximisation," Papers 2007.08376, arXiv.org, revised Jun 2021.
  26. Jin Yuan & Xianghui Yuan, 2023. "A Best Linear Empirical Bayes Method for High-Dimensional Covariance Matrix Estimation," SAGE Open, , vol. 13(2), pages 21582440231, June.
  27. Nicole Bauerle & An Chen, 2022. "Optimal investment under partial information and robust VaR-type constraint," Papers 2212.04394, arXiv.org, revised Sep 2023.
  28. Pulak Swain & Akshay Kumar Ojha, 2025. "Feasibility conditions of robust portfolio solutions with single and combined uncertainties," OPSEARCH, Springer;Operational Research Society of India, vol. 62(3), pages 1262-1287, September.
  29. Ivan Guo & Nicolas Langrené & Gregoire Loeper & Wei Ning, 2020. "Robust utility maximization under model uncertainty via a penalization approach," Working Papers hal-02910261, HAL.
  30. Shuzhen Yang, 2020. "Discrete time multi-period mean-variance model: Bellman type strategy and Empirical analysis," Papers 2011.10966, arXiv.org.
  31. Živkov, Dejan & Balaban, Suzana & Simić, Milica, 2024. "Hedging gas in a multi-frequency semiparametric CVaR portfolio," Research in International Business and Finance, Elsevier, vol. 67(PA).
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