2 papers
q-fin.MF2025
The Exploratory Multi-Asset Mean-Variance Portfolio Selection using Reinforcement Learning
Yu Li, Yuhan Wu, Shuhua Zhang
In this paper, we study the continuous-time multi-asset mean-variance (MV) portfolio selection using a reinforcement learning (RL) algorithm, specifically the soft actor-critic (SA…
q-fin.MF2024
The mean-variance portfolio selection based on the average and current profitability of the risky asset
Yu Li, Yuhan Wu, Shuhua Zhang
We study the continuous-time pre-commitment mean-variance portfolio selection in a time-varying financial market. By introducing two indexes which respectively express the average…