Kernel-based closed-form solutions for path-dependent mean-variance trading outperform linear Markovian baselines and match signature-based methods in the paper's experiments.
Mean–Variance Portfolio Selection Under Volterra Heston Model
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Kernel Learning for Mean-Variance Trading Strategies
Kernel-based closed-form solutions for path-dependent mean-variance trading outperform linear Markovian baselines and match signature-based methods in the paper's experiments.