{
  "abstract": "We propose a new reinforcement learning (RL) framework for the continuous-time mean-variance portfolio optimization with unknown market parameters. To better reflect the impact of improved information of the unknown drift on the degree of exploration, we consider a novel randomization based on continuous-time stochastic filtering. Specifically, we construct a continuous-time analog to Thompson Sampling by treating the unknown drift as a random draw from a generalized sampling distribution parameterized by the filter's posterior mean and variance. The new learning objective measures the tradeoff between the wealth performance and the weighted KL divergence between the policy and the true Bayesian posterior, which transforms the classical feedback control into an information guided stochastic policy. As a result, the degree of exploration endogenously depends on the Reward-Biased Maximum Likelihood Estimation that decays with the shrinking filter's variance. This allows us to devise an efficient model-based learning algorithm in the mean-variance portfolio optimization with theoretical guarantee and superior learning performance.",
  "abstract_shown": true,
  "affiliations": [],
  "article_type": null,
  "arxiv": "2611.10759",
  "author_total": 3,
  "authors": [
    {
      "name": "Kexin Chen"
    },
    {
      "name": "Xiang Yu"
    },
    {
      "name": "Shanshan Zhao"
    }
  ],
  "bibtex": "https://research.draconitic.com/paper/4dnqm4688jb15.bib",
  "cited_by": 0,
  "doi": "10.48550/arxiv.2611.10759",
  "fulltext_url": null,
  "id": "4dnqm4688jb15",
  "issns": [],
  "landing_url": "https://arxiv.org/abs/2611.10759",
  "language": null,
  "licence": "CC-BY-4.0",
  "licence_label": "CC BY 4.0",
  "licence_source": "article",
  "licence_url": "http://creativecommons.org/licenses/by/4.0/",
  "metadata_licence": "CC0-1.0",
  "native_subjects": [
    [
      "arxiv",
      "math.OC"
    ]
  ],
  "openalex": null,
  "pdf_url": "https://arxiv.org/pdf/2611.10759",
  "pmcid": null,
  "pmid": null,
  "published": "2026-11-07",
  "publisher": null,
  "ris": "https://research.draconitic.com/paper/4dnqm4688jb15.ris",
  "sources": [
    {
      "first_seen": "2026-11-10T06:21:33Z",
      "native_id": "2611.10759",
      "source": "arxiv",
      "url": "https://arxiv.org/abs/2611.10759"
    }
  ],
  "subjects": [
    {
      "field": "mathematics",
      "origin": "arxiv:math.OC",
      "subfield": "optimisation-control"
    }
  ],
  "title": "A Bayesian oriented exploration and reinforcement learning in continuous-time mean-variance portfolio optimization",
  "title_text": "A Bayesian oriented exploration and reinforcement learning in continuous-time mean-variance portfolio optimization",
  "type": "preprint",
  "updated_at": "2026-11-10T06:21:33Z",
  "url": "https://research.draconitic.com/paper/4dnqm4688jb15",
  "venue": "arXiv",
  "versions": []
}