Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix

Amine Ismail and Huyên Pham ()
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Huyên Pham: UPD7 - Université Paris Diderot - Paris 7, LPSM (UMR_8001) - Laboratoire de Probabilités, Statistique et Modélisation - UPD7 - Université Paris Diderot - Paris 7 - SU - Sorbonne Université - CNRS - Centre National de la Recherche Scientifique

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Date: 2019-01
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Published in Mathematical Finance, 2019, 29 (1), pp.174-207. ⟨10.1111/mafi.12169⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03947497

DOI: 10.1111/mafi.12169

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