Mean-Variance Portfolio Selection in Long-Term Investments with Unknown Distribution: Online Estimation, Risk Aversion under Ambiguity, and Universality of Algorithms
By Duy Khanh Lam
Published 2024-06-19
- Everscope rating
- 1965.5
- Relevance to quantitative trading
- 8 / 10
- Implementation complexity
- 7 / 10
- Reproducibility
- 3 / 5
About this paper
Methodology: Online Learning. Problem types: Portfolio Optimization, Online Learning.
arXiv:2406.13486
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