Reward Adjustment Reinforcement Learning for Risk-averse Asset Allocation.
Jian LiLaiwan ChanPublished in: IJCNN (2006)
Keyphrases
- risk averse
- portfolio management
- reinforcement learning
- asset allocation
- portfolio selection
- portfolio optimization
- financial data
- state space
- transaction costs
- decision making
- model free
- reward function
- optimal policy
- markov decision processes
- factor analysis
- control policy
- average reward
- stock market
- probability distribution
- evolutionary algorithm