On Reference-Regulated Multiperiod Mean-Variance Portfolio Optimization in High Dimensions

By Yutao Deng, Jianjun Gao, Weichen Wang

Published 2026-05-31

Everscope rating

1719.5

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Reference-Regulated Multiperiod Mean-Variance (RRMV) Portfolio Optimization. Problem types: Portfolio Optimization, Optimization, Risk Management.

arXiv:2606.13697 · Paper rankings

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