AIFT Seminar by Prof. Li XIA
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Prof. Li XIA presented a seminar on Multi-Period Mean-Variance Portfolio on 22 Aug 2023. He introduced a Markov decision process (MDP) approach to address mean-variance optimization, the challenges faced in multi-period portfolio selection. The preliminary results show that the risk-sensitive MDP method obtains the exactly same results as stochastic control, and it can further bring a much broader and unified framework.
