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Continuous-Time Path-Dependent Exploratory Mean-Variance Portfolio Construction (2303.02298v1)
Published 4 Mar 2023 in q-fin.PM
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.