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

2023/03/04 by Fang Zhou, Fang, Zhou
Computer Science · Economics, Econometrics and Finance · Engineering · #Distributed and Parallel Computing Systems #FOS: Economics and business #Financial Markets and Investment Strategies #Portfolio Management (q-fin.PM) #Reservoir Engineering and Simulation Methods

paper · pdf · doi:10.48550/arxiv.2303.02298

openalex publication_date 2023/03/04 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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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