arXiv 1 Oct 2026 · Econometrics
arXiv:2610.02290 · PDF · Extracted main text
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 investor and that achieved by a portfolio chosen from data. We propose the Expected Utility Regret (EUR) rule, which jointly selects a portfolio class and estimates its weights. In a regular parametric return model, a single EUR rule attains both the minimax and the Bayes lower bounds, including their leading constants, without using the prior distribution that defines the Bayes criterion. We then derive the mean--variance and risk-parity portfolios as special cases of this framework. Under smooth increasing and concave utility, the EUR rule and the sample mean--variance portfolio attain the same leading expected regret when expected excess returns approach zero sufficiently fast. When the returns divided by their volatilities have a joint distribution that does not depend on the order of the assets, the EUR rule and the risk-parity portfolio coincide.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Karun Adusumilli (2025) Risk and optimal policies in bandit experiments | 0.843 | 3 | 3 | 100% |
| 2 | Gregg S. Fisher, Philip Z. Maymin, and Zakhar G. Maymin (2015) Risk parity optimality | 0.644 | 2 | 2 | 100% |
| 3 | Jérôme Gava and Julien Turc The properties of alpha risk parity portfolios | 0.644 | 2 | 2 | 100% |
| 4 | Ravi Jagannathan and Tongshu Ma Risk reduction in large portfolios: Why imposing the wrong constraints helps | 0.644 | 2 | 2 | 100% |
| 5 | Tze Leung Lai (1987) Adaptive Treatment Allocation and the Multi-Armed Bandit Problem | 0.644 | 2 | 2 | 100% |
| 6 | Sébastien Maillard, Thierry Roncalli, and Jérôme Teïletche (2010) The properties of equally weighted risk contribution portfolios | 0.644 | 2 | 2 | 100% |
| 7 | Miquel Noguer i Alonso (2026) The mathematics of heuristic portfolio optimization (HPO) | 0.644 | 2 | 2 | 100% |
| 8 | Norbert J. Jobst, Michael D. Horniman, Cormac A. Lucas, and Gautam M… (2001) Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints | 0.585 | 3 | 1 | 100% |
| 9 | Raymond Kan and Guofu Zhou (2007) Optimal portfolio choice with parameter uncertainty | 0.585 | 3 | 1 | 100% |
| 10 | Michael W. Brandt, Pedro Santa-Clara, and Rossen Valkanov (2009) Parametric portfolio policies: Exploiting characteristics in the cross-section of equity returns | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 79 scored citations.