Risk-averse reinforcement learning for algorithmic trading.
Yun ShenRuihong HuangChang YanKlaus ObermayerPublished in: CIFEr (2014)
Keyphrases
- risk averse
- reinforcement learning
- risk neutral
- utility function
- risk aversion
- stochastic programming
- decision makers
- function approximation
- portfolio management
- machine learning
- multistage
- state space
- model free
- expected utility
- learning algorithm
- markov decision processes
- optimal control
- long term
- artificial intelligence
- genetic algorithm
- risk sensitive
- data mining