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Optimal dynamic fixed-mix portfolios based on reinforcement learning with second order stochastic dominance.
Giorgio Consigli
Alvaro Almeida Gomez
Jorge P. Zubelli
Published in:
Eng. Appl. Artif. Intell. (2024)
Keyphrases
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stochastic dominance
reinforcement learning
optimal control
dynamic programming
fuzzy random variables
function approximation
random variables
machine learning
worst case
optimal solution
learning algorithm
neural network
higher order
linear programming
markov decision processes
multi agent
model free