Objective Driven Portfolio Construction Using Reinforcement Learning.
Tina Ruiwen WangJithin PradeepJerry Zikun ChenPublished in: ICAIF (2022)
Keyphrases
- reinforcement learning
- reinforcement learning algorithms
- model free
- data driven
- function approximation
- transfer learning
- multi agent reinforcement learning
- construction process
- temporal difference
- multiple objectives
- neural network
- optimal policy
- state space
- active learning
- decision making
- information systems
- transaction costs
- learning algorithm