Author

Masahiro Kato

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#machine learning Preprint Oct 2026

Expected Utility Regret Rule: Minimax and Bayes Optimal Portfolio Choice

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...

Masahiro Kato · 0 citations