Risk-sensitive benchmarked portfolio optimization under non-linear market dynamics.
Ravi ShankarMayank GoelPublished in: Appl. Math. Comput. (2024)
Keyphrases
- portfolio optimization
- risk sensitive
- stock market
- stock price
- portfolio management
- stock exchange
- optimal control
- utility function
- markov decision processes
- portfolio selection
- financial markets
- factor analysis
- financial data
- risk management
- bi objective
- dynamical systems
- problems involving
- financial time series
- short term
- optimality criterion
- model free
- decision theoretic
- optimization methods
- expected utility
- historical data
- non stationary
- genetic algorithm
- trading strategies
- markov decision problems
- reinforcement learning