Continuous-Time Mean-Variance Portfolio Optimization via Reinforcement Learning.
Haoran WangXun Yu ZhouPublished in: CoRR (2019)
Keyphrases
- portfolio optimization
- reinforcement learning
- portfolio selection
- state space
- optimal control
- portfolio management
- problems involving
- robust optimization
- factor analysis
- stock market
- optimization methods
- risk management
- bi objective
- stock price
- machine learning
- dynamic programming
- long term
- stock exchange
- optimization problems
- multi objective
- short term
- linear program
- metaheuristic
- lot sizing
- evolutionary algorithm
- search space
- learning algorithm