Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix - Archive ouverte HAL
Article Dans Une Revue Mathematical Finance Année : 2019

Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix

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hal-03947497 , version 1 (19-01-2023)

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Amine Ismail, Huyên Pham. Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix. Mathematical Finance, 2019, 29 (1), pp.174-207. ⟨10.1111/mafi.12169⟩. ⟨hal-03947497⟩
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