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Continuous-Time and Distributionally Robust Mean-Variance Models

https://doi.org/10.7916/d8-n5ch-p863
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Dynamic Mean-Variance Asset Allocation
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Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits
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The Cross-Section of Expected Stock Returns
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Distributionally Robust Stochastic Optimization with Wasserstein Distance
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Robust Portfolio Selection Problems
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Robust Mean-Covariance Solutions for Stochastic Optimization
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inferred← citeshttps://doi.org/10.2139/ssrn.3084657openalex-extracted
Dynamic Mean-Risk Asset Allocation and Myopic Strategies: A Universal Portfolio Rule
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