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q-fin.PM2026
Mislearning of Factor Risk Premia under Structural Breaks: A Misspecified Bayesian Learning Framework
Yimeng Qiu
While asset-pricing models increasingly recognize that factor risk premia are subject to structural change, existing literature typically assumes that investors correctly account f…
q-fin.PM2026
A Three--Dimensional Efficient Surface for Portfolio Optimization
Yimeng Qiu
The classical mean-variance framework characterizes portfolio risk solely through return variance and the covariance matrix, implicitly assuming that all relevant sources of risk a…
q-fin.PM2025
Entropy-Guided Multiplicative Updates: KL Projections for Multi-Factor Target Exposures
Yimeng Qiu
We introduce Entropy-Guided Multiplicative Updates (EGMU), a convex optimization framework for constructing multi-factor target-exposure portfolios by minimizing Kullback-Leibler d…