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Robust Portfolio Optimization with Multi-Factor Stochastic Volatility |
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| Authors: | Yang Ben-Zhang Lu Xiaoping Ma Guiyuan Zhu Song-Ping |
| Affiliation: | 1.Department of Mathematics, Sichuan University, Chengdu, China ;2.School of Mathematics and Applied Statistics, University of Wollongong, Wollongong, Australia ;3.Department of Statistics, The Chinese University of Hong Kong, Hong Kong, China ; |
| Abstract: | Journal of Optimization Theory and Applications - This paper studies a robust portfolio optimization problem under a multi-factor volatility model. We derive optimal strategies analytically under... |
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