Risk-Sensitive Portfolio Management by using Distributional Reinforcement Learning.
Thammasorn HarnpadungkijWarasinee ChaisangmongkonPhond PhunchongharnPublished in: iCAST (2019)
Keyphrases
- risk sensitive
- portfolio management
- reinforcement learning
- model free
- optimal control
- markov decision processes
- control policies
- markov decision problems
- portfolio selection
- portfolio optimization
- reinforcement learning algorithms
- function approximation
- utility function
- financial data
- state space
- temporal difference
- optimal policy
- dynamic programming
- infinite horizon
- learning algorithm
- action space
- transaction costs
- decision making
- control strategies
- reward function
- average cost
- policy iteration
- supervised learning
- finite state
- factor analysis
- partially observable
- control strategy
- stock market
- average reward
- machine learning
- linear programming