Artificial intelligence (AI) techniques have been applied to the online portfolio selection
(OLPS) problem, a topic attracting increasing attention. In brief, OLPS is the task of …

We study a dynamic mean–variance portfolio selection problem with return predictability and
trading frictions from price impact. Applying mean-field type control theory, we provide a …

Online portfolio selection is attracting increasing attention in both artificial intelligence and
finance communities due to its efficiency and practicability in deriving optimal investment …

In this paper we introduce a general framework for time-inconsistent optimal control
problems. We characterize the closed-loop equilibrium strategy in both the integral and …

Pairs trading is a typical example of a convergence trading strategy. Investors buy relatively
under-priced assets simultaneously, and sell relatively over-priced assets to exploit …

In this paper, a new robust time-inconsistent stochastic optimal control problem is
investigated under a general jump-diffusion model. Such a problem can be described as a …

This paper considers a robust time-consistent mean-variance-skewness portfolio selection
problem for an ambiguity-averse investor by taking into account wealth-dependent risk …

We study a family of optimal control problems under a set of controlled-loss constraints
holding at different deterministic dates. The characterization of the associated value function …

This paper studies the mean-variance portfolio selection under the assumption that the
market state is modulated by a hidden Markov chain which is unobservable to investors. We …

Pairs trading is one of convergence trades, which simultaneously buy relatively underpriced
assets and sell relatively overpriced assets to exploit temporary mispricing. This paper …