A Differential Game Control Problem in Finite Horizon with an Application to Portfolio Optimization.
Brahim El AsriHafid LaliouiPublished in: CoRR (2022)
Keyphrases
- finite horizon
- portfolio optimization
- infinite horizon
- markov decision processes
- optimal policy
- control system
- multistage
- stock market
- portfolio management
- control strategy
- risk management
- problems involving
- optimal control
- factor analysis
- bi objective
- markov decision process
- portfolio selection
- optimal strategy
- data mining
- optimization methods
- stock exchange
- game theory
- reinforcement learning