2 papers
stat.AP2025
Collective Wisdom: Policy Averaging with an Application to the Newsvendor Problem
Xiangyu Cui, Nicholas G. Hall, Yun Shi +1
We propose a Policy Averaging Approach (PAA) that synthesizes the strengths of existing approaches to create more reliable, flexible and justifiable policies for stochastic optimiz…
q-fin.PM2025
Dynamic Factor Model-Based Multiperiod Mean-Variance Portfolio Selection with Portfolio Constraints
Jianjun Gao, Chengneng Jin, Yun Shi +1
Motivated by practical applications, we explore the constrained multi-period mean-variance portfolio selection problem within a market characterized by a dynamic factor model. This…