Continuous-time reinforcement learning approach for portfolio management with time penalization.
Mauricio García-GaliciaAlin A. CarsteanuJulio B. ClempnerPublished in: Expert Syst. Appl. (2019)
Keyphrases
- portfolio management
- reinforcement learning
- optimal control
- state space
- portfolio optimization
- portfolio selection
- financial data
- transaction costs
- learning algorithm
- factor analysis
- optimal policy
- clustering method
- problems involving
- dynamic programming
- decision making
- linear programming
- signal processing
- long term