Partial Information in a Mean-Variance Portfolio Selection Game
Portfolio optimization in equities, studied by Huang and Sun in 2025. The abstract does not mention a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“This selected strategy additionally needs to yield an equilibrium intra-personally, so as to resolve time inconsistency among the investor's current and future selves (triggered by the mean-variance objective).”
AssetEquities
StrategyPortfolio optimization
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodPortfolio optimization by year
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