118 citations · 425 across the 31 of their papers we have counts for
32 papers
Dynamic mean-variance portfolio selection with no-shorting constraints and unknown investment opportunity sets
Xun Li, Yutian Wang, Xun Yu Zhou
We study continuous-time mean-variance portfolio selection with no-shorting constraints and unknown investment opportunity sets from a reinforcement learning (RL) perspective. The…
Optimal exit strategies of CPT gamblers in unfair gambles
Sang Hu, Xun Yu Zhou
In this paper we study optimal exit strategies of gamblers with cumulative prospect theory (CPT) preferences in games where the expected payoff is strictly negative at each play, a…
Learning to Optimally Stop Diffusion Processes, with Financial Applications
Min Dai, Yu Sun, Zuo Quan Xu +1
We study optimal stopping for diffusion processes with unknown model primitives within the continuous-time reinforcement learning (RL) framework developed by Wang et al. (2020), an…
Sublinear Regret for a Class of Continuous-Time Linear-Quadratic Reinforcement Learning Problems
Yilie Huang, Yanwei Jia, Xun Yu Zhou
We study reinforcement learning (RL) for a class of continuous-time linear-quadratic (LQ) control problems for diffusions, where states are scalar-valued and running control reward…
Robust utility maximization with intractable claims
Yunhong Li, Zuo Quan Xu, Xun Yu Zhou
We study a continuous-time expected utility maximization problem in which the investor at maturity receives the value of a contingent claim in addition to the investment payoff fro…
Naive Markowitz Policies
Lin Chen, Xun Yu Zhou
We study a continuous-time Markowitz mean-variance portfolio selection model in which a naive agent, unaware of the underlying time-inconsistency, continuously reoptimizes over tim…