2 papers
math.OC2025
Continuous-time reinforcement learning for optimal switching over multiple regimes
Yijie Huang, Mengge Li, Xiang Yu +1
This paper studies the continuous-time reinforcement learning (RL) for optimal switching problems across multiple regimes. We consider a type of exploratory formulation under entro…
q-fin.MF2023
Robust Equilibrium Strategy for Mean-Variance Portfolio Selection
Mengge Li, Shuaijie Qian, Chao Zhou
The classical mean-variance portfolio selection problem induces time-inconsistent (precommited) strategies (see Zhou and Li (2000)). To overcome this time-inconsistency, Basak and…