Continuous-Time Path-Dependent Exploratory Mean-Variance Portfolio Construction
Portfolio Management
2023-03-07 v1
Abstract
In this paper, we present an extended exploratory continuous-time mean-variance framework for portfolio management. Our strategy involves a new clustering method based on simulated annealing, which allows for more practical asset selection. Additionally, we consider past wealth evolution when constructing the mean-variance portfolio. We found that our strategy effectively learns from the past and performs well in practice.
Keywords
Cite
@article{arxiv.2303.02298,
title = {Continuous-Time Path-Dependent Exploratory Mean-Variance Portfolio Construction},
author = {Zhou Fang},
journal= {arXiv preprint arXiv:2303.02298},
year = {2023}
}
Comments
Any constructive comment is welcomed