Continuous-Time Path-Dependent Exploratory Mean-Variance Portfolio Construction

Zhou Fang

Papers from arXiv.org

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.

Date: 2023-03
New Economics Papers: this item is included in nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2303.02298

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