Causal Inference on Investment Constraints and Non-stationarity in Dynamic Portfolio Optimization through Reinforcement Learning.
Yasuhiro NakayamaTomochika SawakiPublished in: CoRR (2023)
Keyphrases
- portfolio optimization
- causal inference
- portfolio management
- reinforcement learning
- investment decisions
- problems involving
- portfolio selection
- optimal policy
- rare events
- sharpe ratio
- machine learning
- linear programming
- risk management
- discrete data
- stock market
- non stationary
- observational data
- principal component analysis
- decision making
- artificial intelligence