Bayesian learning in dynamic portfolio selection under a minimax rule

DOI10.1007/S00291-024-00786-8MaRDI QIDQ6995293zbMATH OpenFDO

Authors Xiaoqiang Cai, Gen Yu

Publication date 22 April 2025

Published in OR Spectrum (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S00291-024-00786-8

zbMATH Keywords

\(l_{\infty}\) risk functionBayesian learninginvestment analysisparameter uncertaintystochastic dynamic programming

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Bayesian inference (62F15) Portfolio theory (91G10)

Cites work

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Cited in

(1)

• Optimal Trading under Instantaneous and Persistent Price Impact, Predictable Returns and Multiscale Stochastic Volatility

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