Campuses:

correlation ambiguity

Wednesday, June 13, 2018 - 10:00am - 10:50am
Huyen Pham (Université de Paris VII (Denis Diderot))
This talk is concerned with multi-asset mean-variance portfolio selection problem under model uncertainty.
We develop a continuous time framework for taking into account ambiguity aversion about both expected rate of return and correlation matrix of stocks, and for studying the effects on portfolio diversification.
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