Mean-Variance Optimization in Ambiguous Financial Markets with Learning

By Nicole Bäuerle, Anne MacKay

Published 2026-06-11

Everscope rating

1942

Relevance to quantitative trading

8 / 10

Implementation complexity

8 / 10

Reproducibility

3 / 5

About this paper

Methodology: Duality/Martingale Approach with Bayesian Filtering. Problem types: Portfolio Optimization, Optimization, Risk Management.

arXiv:2606.11318 · Paper rankings

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