OpenAlex
Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities
Work
Year: 2016
Type: article
Source: SIAM Journal on Control and Optimization
Authors Jean‐Pierre Fouque, Chi Seng Pun, Hoi Ying Wong
Cites: 25
Cited by: 88
Related to: 10
FWCI: 12.06
Citation percentile (by year/subfield): 99.99
Topic: Stochastic processes and financial applications
Subfield: Finance
Field: Economics, Econometrics and Finance
Domain: Social Sciences
Open Access status: closed
Funder National Natural Science Foundation of China