on filtering techniques and learning methods, we use a Bayesian learning approach to solve the Markowitz problem and … Bayesian learning strategy, we compare it with an optimal nonlearning strategy that keeps the drift constant at all times. In … order to emphasize the prevalence of the Bayesian learning strategy above the nonlearning one in different situations, we …

This paper proposes a self-calibrated sparse learning approach for estimating a sparse target vector, which is a …

, we also find mutual fund investors learn much more slowly than Bayes' rule. Mutual fund investors' slow learning is not … lack of sophistication, but is likely due to a low payoff from learning. Our results suggest learning speed depends on the …

This article aims to enhance factor investing with reinforcement learning (RL) techniques. The agent learns through …

This article aims to enhance factor investing with reinforcement learning (RL) techniques. The agent learns through …

We survey the recent literature on learning in financial markets. Our main theme is that many financial market … uncertain and subject to learning. We discuss phenomena related to the volatility and predictability of asset returns, stock …

We survey the recent literature on learning in financial markets. Our main theme is that many financial market … uncertain and subject to learning. We discuss phenomena related to the volatility and predictability of asset returns, stock …