CRRA portfolio selection equals Rényi information projection with the Rényi order matching the relative risk aversion coefficient, yielding a Blahut-Arimoto-style alternating optimizer that needs fewer iterations at low risk aversion.
Portfolio selection
3 Pith papers cite this work. Polarity classification is still indexing.
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EvoNash-MARL achieves 19.6% annualized returns on equity allocation from 2014-2024 versus 11.7% for SPY, with evidence of robustness under constraints but no strong statistical superiority per WRC and SPA-lite tests.
AEGIS is a hierarchical optimization framework that uses volatility-adjusted momentum and minimax correlation to generate asymmetric alpha with reduced drawdowns in backtests.
citing papers explorer
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Single-Period Portfolio Selection via Information Projection
CRRA portfolio selection equals Rényi information projection with the Rényi order matching the relative risk aversion coefficient, yielding a Blahut-Arimoto-style alternating optimizer that needs fewer iterations at low risk aversion.
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EvoNash-MARL: A Closed-Loop Multi-Agent Reinforcement Learning Framework for Medium-Horizon Equity Allocation
EvoNash-MARL achieves 19.6% annualized returns on equity allocation from 2014-2024 versus 11.7% for SPY, with evidence of robustness under constraints but no strong statistical superiority per WRC and SPA-lite tests.
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Taming the Black Swan: A Momentum-Gated Hierarchical Optimisation Framework for Asymmetric Alpha Generation
AEGIS is a hierarchical optimization framework that uses volatility-adjusted momentum and minimax correlation to generate asymmetric alpha with reduced drawdowns in backtests.