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econ.EM2026
Expected Utility Regret Rule: Minimax and Bayes Optimal Portfolio Choice
Masahiro Kato
This study considers the problem of portfolio choice, where we recommend a portfolio to an investor to maximize the expected utility of their wealth. Our goal is to construct an as…
econ.EM2025
Bayesian Portfolio Optimization by Predictive Synthesis
Masahiro Kato, Kentaro Baba, Hibiki Kaibuchi +1
Portfolio optimization is a critical task in investment. Most existing portfolio optimization methods require information on the distribution of returns of the assets that make up…