Risk-Aware Reinforcement Learning for Multi-Period Portfolio Selection.
David WinkelNiklas StraußMatthias SchubertThomas SeidlPublished in: ECML/PKDD (6) (2022)
Keyphrases
- portfolio selection
- multi period
- portfolio optimization
- reinforcement learning
- portfolio management
- production planning
- optimal portfolio
- facility location problem
- planning horizon
- data envelopment analysis
- lot sizing
- financial markets
- routing problem
- risk management
- robust optimization
- total cost
- multi item
- state space
- machine learning
- markov decision processes
- multiple objectives
- lead time
- optimal policy
- dynamic programming
- input output
- approximation algorithms