118 citations · 425 across the 31 of their papers we have counts for
7 papers · 1 filter
Asset Selection via Correlation Blockmodel Clustering
Wenpin Tang, Xiao Xu, Xun Yu Zhou
We aim to cluster financial assets in order to identify a small set of stocks to approximate the level of diversification of the whole universe of stocks. We develop a data-driven…
Large scale continuous-time mean-variance portfolio allocation via reinforcement learning
Haoran Wang
We propose to solve large scale Markowitz mean-variance (MV) portfolio allocation problem using reinforcement learning (RL). By adopting the recently developed continuous-time expl…
Continuous-Time Mean-Variance Portfolio Selection: A Reinforcement Learning Framework
Haoran Wang, Xun Yu Zhou
We approach the continuous-time mean-variance (MV) portfolio selection with reinforcement learning (RL). The problem is to achieve the best tradeoff between exploration and exploit…
Time-Inconsistent Stochastic Linear--Quadratic Control: Characterization and Uniqueness of Equilibrium
Ying Hu, Hanqing Jin, Xun Yu Zhou
In this paper, we continue our study on a general time-inconsistent stochastic linear--quadratic (LQ) control problem originally formulated in [6]. We derive a necessary and suffic…
The premium of dynamic trading
Chun Hung Chiu, Xun Yu Zhou
It is well established that in a market with inclusion of a risk-free asset the single-period mean-variance efficient frontier is a straight line tangent to the risky region, a fac…
Continuous-Time Markowitz's Model with Transaction Costs
Min Dai, Zuo Quan Xu, Xun Yu Zhou
A continuous-time Markowitz's mean-variance portfolio selection problem is studied in a market with one stock, one bond, and proportional transaction costs. This is a singular stoc…