2 papers
q-fin.TR2025
Kernel Learning for Mean-Variance Trading Strategies
Owen Futter, Nicola Muca Cirone, Blanka Horvath
In this article, we develop a kernel-based framework for constructing dynamic, pathdependent trading strategies under a mean-variance optimisation criterion. Building on the theore…
q-fin.PM2023
Signature Trading: A Path-Dependent Extension of the Mean-Variance Framework with Exogenous Signals
Owen Futter, Blanka Horvath, Magnus Wiese
In this article we introduce a portfolio optimisation framework, in which the use of rough path signatures (Lyons, 1998) provides a novel method of incorporating path-dependencies…