Received: 9 September 2020   Accepted: 15 May 2021
DOI: 10.1111/mafi.12320

ORIGINAL ARTICLE


Portfolio diversification and model uncertainty:
A robust dynamic mean-variance approach
Huyên Pham1            Xiaoli Wei2        Chao Zhou3
1LPSM, Université de Paris and
CREST-ENSAE, Paris, France               Abstract
2IEOR, UC Berkeley, Berkeley,             This paper focuses on a dynamic multi-asset mean-
California, USA                    variance portfolio selection problem under model uncer- ...