Optimal portfolio with relative performance and CRRA risk preferences in a partially observable financial market.
Panpan ZhangZhiguo YanPublished in: Appl. Math. Comput. (2024)
Keyphrases
- financial markets
- portfolio selection
- optimal portfolio
- partially observable
- risk management
- portfolio optimization
- black scholes
- portfolio management
- state space
- decision problems
- dynamical systems
- reinforcement learning
- markov decision processes
- stock market
- stock price
- infinite horizon
- belief state
- expected utility
- reward function
- decision making
- exchange rate
- utility function
- complex systems
- stock exchange
- planning domains
- dynamic programming
- np hard
- special case
- search algorithm