Browsing Waterloo Research by Subject "portfolio selection"

Now showing items 1-2 of 2

Mean-Expectile Portfolio Selection

Lin, Hongcan; Saunders, David; Weng, Chengguo (Springer, 2021)

We consider a mean-expectile portfolio selection problem in a continuous-time diffusion model. We exploit the close relationship between expectiles and the Omega performance measure to reformulate the problem as the ...
The Reinforcement Learning Kelly Strategy

Jiang, Ruihong; Saunders, David; Weng, Chengguo (Taylor & Francis, 2022-03)

The full Kelly portfolio strategy's deficiency in the face of estimation errors in practice can be mitigated by fractional or shrinkage Kelly strategies. This paper provides an alternative, the RL Kelly strategy, based on ...