Shrinkage estimation with reinforcement learning of large variance matrices for portfolio selection.
Giulio MatteraRaffaele MatteraPublished in: Intell. Syst. Appl. (2023)
Keyphrases
- portfolio selection
- reinforcement learning
- multistage stochastic
- portfolio optimization
- robust optimization
- portfolio management
- learning algorithm
- state space
- financial markets
- optimal policy
- denoising
- transaction costs
- multiple objectives
- machine learning
- theoretical framework
- neural network
- case based reasoning
- probability distribution
- multi objective
- expert systems
- genetic algorithm