Showing q-fin.MFShow all
2 papers · 1 filter
q-fin.MF2025
Sequential Portfolio Selection under Latent Side Information-Dependence Structure: Optimality and Universal Learning Algorithms
Duy Khanh Lam
This paper investigates the investment problem of constructing an optimal no-short sequential portfolio strategy in a market with a latent dependence structure between asset prices…
q-fin.MF2024
Mean-Variance Portfolio Selection in Long-Term Investments with Unknown Distribution: Online Estimation, Risk Aversion under Ambiguity, and Universality of Algorithms
Duy Khanh Lam
The standard approach for constructing a Mean-Variance portfolio involves estimating parameters for the model using collected samples. However, since the distribution of future dat…