Image de couverture de livre

Mean--Variance Portfolio Selection by Continuous-Time Reinforcement Learning: Algorithms, Regret Analysis, and Empirical Study

Fuente: arXiv

Enregistré dans:

Détails bibliographiques
Auteurs principaux:	Huang, Yilie, Jia, Yanwei, Zhou, Xun Yu
Format:	Preprint
Publié:	2024
Sujets:	Portfolio Management Machine Learning Systems and Control Optimization and Control 68T05, 91G10, 68Q25, 93E35, 93E20
Accès en ligne:	Acceder al recurso
Tags:	Ajouter un tag Pas de tags, Soyez le premier à ajouter un tag!

Documents similaires

Exploratory Randomization for Discrete-Time Linear Exponential Quadratic Gaussian (LEQG) Problem
par: Lleo, Sebastien, et autres
Publié: (2025)

Exploratory Randomization for Discrete-Time Risk-Sensitive Benchmarked Investment Management with Reinforcement Learning
par: Lleo, Sebastien, et autres
Publié: (2026)

Continuous-time Risk-sensitive Reinforcement Learning via Quadratic Variation Penalty
par: Jia, Yanwei
Publié: (2024)

Optimal dividend payout with path-dependent drawdown constraint
par: Guan, Chonghu, et autres
Publié: (2023)

Smart leverage? Rethinking the role of Leveraged Exchange Traded Funds in constructing portfolios to beat a benchmark
par: van Staden, Pieter, et autres
Publié: (2024)

Entropy Regularization under Bayesian Drift Uncertainty
par: Au, Andy
Publié: (2026)

Convergence of policy gradient methods for finite-horizon exploratory linear-quadratic control problems
par: Giegrich, Michael, et autres
Publié: (2022)

Optimal two-parameter portfolio management strategy with transaction costs
par: Ma, Chutian, et autres
Publié: (2024)

Two Stochastic Control Methods for Mean-Variance Portfolio Selection of Jump Diffusions and Their Relationship
par: Zhang, Qiyue, et autres
Publié: (2025)

Risk-Sensitive Investment Management via Free Energy-Entropy Duality
par: Lleo, Sebastien, et autres
Publié: (2026)

Dividend ratcheting and capital injection under the Cramér-Lundberg model: Strong solution and optimal strategy
par: Guan, Chonghu, et autres
Publié: (2026)

Robust optimal investment and consumption strategies with portfolio constraints and stochastic environment
par: Garces, Len Patrick Dominic M., et autres
Publié: (2024)

Robust Reinforcement Learning with Dynamic Distortion Risk Measures
par: Coache, Anthony, et autres
Publié: (2024)

Robust Trading in a Generalized Lattice Market
par: Hsieh, Chung-Han, et autres
Publié: (2023)

Power Utility Maximization with Expert Opinions at Fixed Arrival Times in a Market with Hidden Gaussian Drift
par: Gabih, Abdelali, et autres
Publié: (2023)

Reinforcement Learning Method for Zero-Sum Linear-Quadratic Stochastic Differential Games in Infinite Horizons
par: Wang, Yiyuan
Publié: (2026)

Optimal control of SDEs with merely measurable drift: an HJB approach
par: Du, Kai, et autres
Publié: (2025)

Neural Actor-Critic Methods for Hamilton-Jacobi-Bellman PDEs: Asymptotic Analysis and Numerical Studies
par: Cohen, Samuel N., et autres
Publié: (2025)

Learning an optimal feedback operator semiglobally stabilizing semilinear parabolic equations
par: Kunisch, Karl, et autres
Publié: (2021)

Does DQN Learn?
par: Gopalan, Aditya, et autres
Publié: (2022)

Portfolio Optimization in a Market with Hidden Gaussian Drift and Randomly Arriving Expert Opinions: Modeling and Theoretical Results
par: Gabih, Abdelali, et autres
Publié: (2023)

Stability and Sensitivity Analysis of Relative Temporal-Difference Learning: Extended Version
par: Sakha, Masoud S., et autres
Publié: (2026)

Optimistic Training and Convergence of Q-Learning -- Extended Version
par: Mehta, Prashant, et autres
Publié: (2026)

Monotone Mean-Variance Portfolio Selection in Semimartingale Markets: Martingale Method
par: Li, Yuchen, et autres
Publié: (2024)

Controllability and Vector Potential
par: Shankar, Shiva
Publié: (2019)

Deep Learning for Continuous-Time Stochastic Control with Jumps
par: Cheridito, Patrick, et autres
Publié: (2025)

On Cost-Sensitive Distributionally Robust Log-Optimal Portfolio
par: Hsieh, Chung-Han, et autres
Publié: (2024)

Dynamically optimal portfolios for monotone mean--variance preferences
par: Černý, Aleš, et autres
Publié: (2025)

Convergence of Proximal Policy Gradient Method for Problems with Control Dependent Diffusion Coefficients
par: Davey, Ashley, et autres
Publié: (2025)

Sampled-Data Wasserstein Distributionally Robust Control of Multiplicative Systems: A Convex Relaxation with Performance Guarantees
par: Hsieh, Chung-Han
Publié: (2026)

A unifying view on the irreversible investment exercise boundary in a stochastic, time-inhomogeneous capacity expansion problem
par: Chiarolla, Maria B.
Publié: (2022)

Money-Back Tontines for Retirement Decumulation: Neural-Network Optimization under Systematic Longevity Risk
par: Orozco, German Nova, et autres
Publié: (2026)

$α$-robust utility maximization with intractable claims: A quantile optimization approach
par: Chen, Xinyu, et autres
Publié: (2026)

Multi-period Asset-liability Management with Reinforcement Learning in a Regime-Switching Market
par: Gao, Zhongqin, et autres
Publié: (2025)

Reinforcement Learning in Real Option Models
par: Dianetti, Jodi, et autres
Publié: (2026)

Partial Information in a Mean-Variance Portfolio Selection Game
par: Huang, Yu-Jui, et autres
Publié: (2023)

On Robustness of Double Linear Policy with Time-Varying Weights
par: Wang, Xin-Yu, et autres
Publié: (2023)

Well Posedness of Utility Maximization Problems Under Partial Information in a Market with Gaussian Drift
par: Gabih, Abdelali, et autres
Publié: (2022)

Multi-period Mean-Buffered Probability of Exceedance in Defined Contribution Portfolio Optimization
par: Dang, Duy-Minh, et autres
Publié: (2025)

Constrained monotone mean--variance investment-reinsurance under the Cramér--Lundberg model with random coefficients
par: Shi, Xiaomin, et autres
Publié: (2024)