3 papers
math.OC2026
Dynamic mean-variance portfolio selection with no-shorting constraints and unknown investment opportunity sets
Xun Li, Yutian Wang, Xun Yu Zhou
We study continuous-time mean-variance portfolio selection with no-shorting constraints and unknown investment opportunity sets from a reinforcement learning (RL) perspective. The…
cs.LG2026
Variable Clustering via Distributionally Robust Nodewise Regression
Kaizheng Wang, Xiao Xu, Xun Yu Zhou
We study a multi-factor block model for variable clustering and connect it to regularized subspace clustering through a distributionally robust version of nodewise regression. To s…
cs.LG2025
q-Learning in Continuous Time
Yanwei Jia, Xun Yu Zhou
We study the continuous-time counterpart of Q-learning for reinforcement learning (RL) under the entropy-regularized, exploratory diffusion process formulation introduced by Wang e…