Risk-averse Reinforcement Learning for Portfolio Optimization.
Bayaraa EnkhsaikhanOhyun JoPublished in: ICT Express (2024)
Keyphrases
- risk averse
- portfolio management
- portfolio optimization
- reinforcement learning
- risk measures
- portfolio selection
- robust optimization
- problems involving
- factor analysis
- stochastic programming
- stock market
- risk management
- bi objective
- optimization methods
- stock price
- state space
- optimal policy
- stock exchange
- utility function
- decision makers
- decision making
- transaction costs
- data mining
- dynamic programming
- long term