2 papers
q-fin.PM2025
Exploratory Mean-Variance with Jumps: An Equilibrium Approach
Yuling Max Chen, Bin Li, David Saunders
Revisiting the continuous-time Mean-Variance (MV) Portfolio Optimization problem, we model the market dynamics with a jump-diffusion process and apply Reinforcement Learning (RL) t…
q-fin.PM2025
Exploratory Mean-Variance Portfolio Optimization with Regime-Switching Market Dynamics
Yuling Max Chen, Bin Li, David Saunders
Considering the continuous-time Mean-Variance (MV) portfolio optimization problem, we study a regime-switching market setting and apply reinforcement learning (RL) techniques to as…