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math.OC2026
Mean-variance portfolio selection: connections between mean-field systems and forward-backward stochastic systems under initial-terminal cost coupling
Xun Li, Hongyu Shi, Zhen Wu
This paper investigates the connection between mean-field systems and forward-backward stochastic systems arising from the mean-variance portfolio selection problem. By introducing…
math.OC2026
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…