Risk-sensitive policies for portfolio management.
Mingfu WangHyejin KuPublished in: Expert Syst. Appl. (2022)
Keyphrases
- risk sensitive
- portfolio management
- control policies
- markov decision problems
- markov decision processes
- optimal control
- optimal policy
- portfolio selection
- optimality criterion
- average cost
- utility function
- portfolio optimization
- transaction costs
- financial data
- model free
- control strategies
- state space
- reinforcement learning
- action space
- linear programming
- finite horizon
- control policy
- expected utility
- decision theoretic
- control system
- efficient optimization
- partially observable
- decision processes
- long run
- finite state
- factor analysis
- influence diagrams
- decision problems