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Model risk in mean-variance portfolio selection: an analytic solution to the worst-case approach

Crossref DOI link: https://doi.org/10.1007/s10898-021-01039-6

Published Online: 2021-05-29

Published Print: 2021-10

Update policy: https://doi.org/10.1007/springer_crossmark_policy

Authors

Baviera, Roberto https://orcid.org/0000-0002-8557-979X
Bianchi, Giulia
Funding

Funding for this research was provided by:

Politecnico di Milano
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Text and Data Mining valid from 2021-05-29

Version of Record valid from 2021-05-29
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Article History

Received: 9 December 2019

Accepted: 16 May 2021

First Online: 29 May 2021