2 papers
q-fin.MF2025
Wasserstein Robust Market Making via Entropy Regularization
Zhou Fang, Arie Israel
In this paper, we introduce a robust market making framework based on Wasserstein distance, utilizing a stochastic policy approach enhanced by entropy regularization. We demonstrat…
q-fin.PM2023
Continuous-Time Path-Dependent Exploratory Mean-Variance Portfolio Construction
Zhou Fang
In this paper, we present an extended exploratory continuous-time mean-variance framework for portfolio management. Our strategy involves a new clustering method based on simulated…