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math.OC2025
A non-zero-sum game with reinforcement learning under mean-variance framework
Junyi Guo, Xia Han, Hao Wang +1
In this paper, we investigate a competitive market involving two agents who consider both their own wealth and the wealth gap with their opponent. Both agents can invest in a finan…
math.OC2025
Dynamic reinsurance design with heterogeneous beliefs under the mean-variance framework
Junyi Guo, Xia Han, Hao Wang
This paper investigates the dynamic reinsurance design problem under the mean-variance criterion, incorporating heterogeneous beliefs between the insurer and the reinsurer, and int…
math.OC2023
Exploratory mean-variance portfolio selection with Choquet regularizers
Junyi Guo, Xia Han, Hao Wang
In this paper, we study a continuous-time exploratory mean-variance (EMV) problem under the framework of reinforcement learning (RL), and the Choquet regularizers are used to measu…