Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach

@article{Pham2021PortfolioDA,
  title={Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach},
  author={Huy{\^e}n Pham and Xiaoli Wei and Chao Zhou},
  journal={Mathematical Finance},
  year={2021}
}
This paper is concerned with a 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 return rates and correlation matrix of the assets, and for studying the effects on portfolio diversification. We prove a separation principle for the associated robust control problem, which allows to reduce the determination of the optimal dynamic strategy to the parametric computation… Expand
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