Constrained Portfolio Management Using Action Space Decomposition for Reinforcement Learning.
David WinkelNiklas StraußMatthias SchubertYunpu MaThomas SeidlPublished in: PAKDD (2) (2023)
Keyphrases
- action space
- portfolio management
- reinforcement learning
- state space
- markov decision processes
- state and action spaces
- continuous state
- real valued
- portfolio optimization
- portfolio selection
- action selection
- stochastic processes
- function approximation
- transaction costs
- state action
- financial data
- reinforcement learning methods
- continuous state spaces
- single agent
- function approximators
- decision making
- dynamic programming
- multi agent
- machine learning
- factor analysis
- markov decision process
- optimization problems
- model free
- optimal policy
- computational complexity
- learning algorithm