This paper investigates the equilibrium portfolio selection for smooth ambiguity preferences in a continuous-time market. The investor is uncertain about the risky asset's drift term and updates the subjective belief according to the Bayesian rule. Two versions of the verification theorem are established and an equilibrium strategy can be decomposed into a myopic demand and two hedging demands. When the prior is Gaussian, the closed-form equilibrium solution is obtained. A puzzle in the numerical results is interpreted via an alternative representation of the smooth ambiguity preferences.
Time-consistent portfolio selection with monotone mean-variance preferences
Chongqing Technology and Business University（重庆工商大学）；Southwestern University of Finance and Economics（西南财经大学）；Central University of Finance and Economics（中央财经大学）
Maximum Utility Split Method for Utility Preference Elicitation
School of Mathematics and Statistics, Xi’an Jiaotong University（西安交通大学数学与统计学院）；Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong（香港中文大学系统工程与工程管理学系）
Benchmarking Deep Time Series Models for Equity Portfolios
School of Mathematical Sciences, Beijing Normal University（北京师范大学数学科学学院）；School of Management, Shandong University（山东大学管理学院）；Peking University National School of Development（北京大学国家发展研究院）
Admissible Strategies in Semimartingale Portfolio Selection
在金融市场的数学建模中，选择可接受的交易策略是一个微妙的问题，可以追溯到哈里森和克雷普斯（Harrison and Kreps，1979）。在具有期望效用偏好的最优投资组合选择的背景下，这个问题在过去的二十年里一直是相当关注的焦点。我们提出了一个新的可容许性概念，它具有许多令人愉快的特征：可容许性完全在客观测度下刻画;每个可容许策略可以用有限个交易日的简单策略来近似;任何可容许策略的财富在所有定价测度下都是上鞅;价格过程不需要局部有界;效用函数的严格单调性、严格可微性和可微性都不是必需的;该定义包括经典的均值-方差偏好和单调的期望效用。对于有限的效用函数在整个实数线上，我们的类代表了一个最小的集合，包含简单的策略，也包含优化器，在条件下，比著名的合理渐近弹性条件的效用函数温和。
Deep Reinforcement Learning for Investor-Specific Portfolio Optimization: A Volatility-Guided Asset Selection Approach
School of Mathematical and Statistical Sciences, Indian Institute of Technology Mandi（印度理工学院曼迪数学与统计科学学院）；Department of Mathematics, Indian Institute of Technology Guwahati（印度理工学院古瓦哈提数学系）
Intertemporal Hedging Demand under Epstein-Zin Preferences in a Multi-Asset Long-Run Risk Model: Evidence from Projected Pontryagin-Guided Deep Policy Optimization
