2 papers
q-fin.MF2026
Merton's Problem with Recursive Perturbed Utility
Min Dai, Yuchao Dong, Yanwei Jia +1
The classical Merton investment problem predicts deterministic, state-dependent portfolio rules; however, laboratory and field evidence suggests that individuals often prefer rando…
q-fin.PM2024
Mean--Variance Portfolio Selection by Continuous-Time Reinforcement Learning: Algorithms, Regret Analysis, and Empirical Study
Yilie Huang, Yanwei Jia, Xun Yu Zhou
We study continuous-time mean--variance portfolio selection in markets where stock prices are diffusion processes driven by observable factors that are also diffusion processes, ye…