Exploratory mean-variance portfolio selection with Choquet regularizers

Junyi Guo, Xia Han and Hao Wang

Quantitative Finance, 2026, vol. 26, issue 1, 63-83

Abstract: In this paper, we study a continuous-time exploratory mean-variance (EMV) problem under the framework of reinforcement learning (RL), and the Choquet regularizers are used to measure the level of exploration. By applying the classical Bellman principle of optimality, the Hamilton-Jacobi-Bellman equation of the EMV problem is derived and solved explicitly via maximizing statically a mean-variance constrained Choquet regularizer. In particular, the optimal distributions form a location-scale family, whose shape depends on the choices of the Choquet regularizer. We further reformulate the continuous-time Choquet-regularized EMV problem using a variant of the Choquet regularizer. Several examples are given under specific Choquet regularizers that generate broadly used exploratory samplers such as exponential, uniform and Gaussian. Finally, we develop a reinforcement learning algorithm and assess its performance via simulations and empirical analysis, including comparisons with the plug-in policy and the entropy-regularized policy.

Date: 2026
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DOI: 10.1080/14697688.2025.2563094

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