Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity

Keyphrases

• Stochastic Covariance 100%
• Multivariate Portfolio Choice 100%
• Model Uncertainty 50%
• Stock Market 50%
• Uncertainty Levels 50%
• Large Loss 50%
• Well-behaved 50%
• Market Risk 50%
• Stock Prices 50%
• Covariance Structure 50%
• Portfolio Optimization 50%
• Welfare Analysis 50%
• Welfare Loss 50%
• Verification Theorem 50%
• Incomplete Markets 50%
• Derivative Markets 50%
• Ambiguity-averse 50%
• Ambiguity Aversion 50%
• Intertemporal Hedging 50%
• Covariance Risk 50%

Economics, Econometrics and Finance

• Investors 100%
• Portfolio Choice 100%
• Portfolio Selection 33%
• Stock Price 33%
• Incomplete Market 33%
• Welfare Analysis 33%
• Hedging 33%
• Derivatives Market 33%