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

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  • Zhou Fang

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.

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  • Zhou Fang, 2023. "Continuous-Time Path-Dependent Exploratory Mean-Variance Portfolio Construction," Papers 2303.02298, arXiv.org.
    • Handle: RePEc:arx:papers:2303.02298
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