17 citations · 17 across the 7 of their papers we have counts for
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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…
q-fin.PM2023
Data-Driven Merton's Strategies via Policy Randomization
Min Dai, Yuchao Dong, Yanwei Jia +1
We study Merton's expected utility maximization problem in an incomplete market, characterized by a factor process in addition to the stock price process, where all the model primi…