Risk Sensitive Markov Decision Process for Portfolio Management.
Eduardo Lopes Pereira NetoValdinei FreireKarina Valdivia DelgadoPublished in: MICAI (1) (2020)
Keyphrases
- risk sensitive
- markov decision process
- portfolio management
- markov decision processes
- optimal policy
- state space
- average cost
- infinite horizon
- optimal control
- reinforcement learning
- portfolio optimization
- portfolio selection
- finite horizon
- finite state
- policy iteration
- model free
- dynamic programming
- financial data
- transaction costs
- reward function
- reinforcement learning algorithms
- partially observable
- utility function
- markov decision problems
- decision making
- action space
- average reward
- data mining
- linear programming
- graphical models
- search algorithm
- initial state
- expected utility
- long run
- markov chain