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q-fin.PM2026
Mean-Variance Optimization in Ambiguous Financial Markets with Learning
Nicole Bäuerle, Anne MacKay
We consider a continuous time investment problem in a multi-asset Black-Scholes market with the following features: The assets' drifts are not known and constitute a source of mode…
math.OC2026
Markov Decision Processes of the Third Kind: Learning Distributions by Policy Gradient Descent
Nicole Bäuerle, Athanasios Vasileiadis
The goal of this paper is to analyze distributional Markov Decision Processes as a class of control problems in which the objective is to learn policies that steer the distribution…