q-fin.PM

cs.LG, cs.SY, eess.SY, math.OC, q-fin.PM

Mean–Variance Portfolio Selection by Continuous-Time Reinforcement Learning: Algorithms, Regret Analysis, and Empirical Study

Yilie Huang, Yanwei Jia, Xun Yu Zhou / March 31, 2026

arXiv:2412.16175v3 Announce Type: replace-cross
Abstract: We study continuous-time mean–variance portfolio selection in markets where stock prices are diffusion processes driven by observable factors that are also diffusion processes, yet the coeffic…

cs.AI, cs.CE, econ.EM, q-fin.PM

Diffolio: A Diffusion Model for Multivariate Probabilistic Financial Time-Series Forecasting and Portfolio Construction

So-Yoon Cho, Jin-Young Kim, Kayoung Ban, Hyeng Keun Koo, Hyun-Gyoon Kim / March 31, 2026

arXiv:2511.07014v2 Announce Type: replace-cross
Abstract: Probabilistic forecasting is crucial in multivariate financial time-series for constructing efficient portfolios that account for complex cross-sectional dependencies. In this paper, we propose…