الباحثون

Masahiro Kato

المنشورات 2

نسخة أولية وصول مفتوح

Expected Utility Regret Rule: Minimax and Bayes Optimal Portfolio Choice

Masahiro Kato · 2026

This study considers the problem of portfolio choice, where we recommend a portfolio to an investor to maximize the expected utility of their wealth. Our goal is to construct an asymptotically optimal portfolio choice rule in terms of expected utility regret, the difference between the expected utility of an oracle inv …