Adaptive Portfolio Optimization
The research introduces a multidimensional investment model that adapts to new information and is robust to parameter misspecification, using a continuous-time estimator for drift parameters.
Featured in No. 81 on 8 Jan 2025 · 4 days after release
- Released
- 4 Jan 2025
- First featured
- No. 81 · 8 Jan 2025
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 6
- Identifier
- SSRN 5082206
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).