Exploratory Continuous-Time Dual-Standard Mean-Variance Portfolio Selection: A Reinforcement Learning Method
Author:
Affiliation:
1. Shandong University,School of Control Science and Engineering,Jinan,P. R. China,250061
Funder
National Natural Science Foundation of China
Natural Science Foundation of Shandong Province
Publisher
IEEE
Link
http://xplorestaging.ieee.org/ielx8/10587298/10587321/10587372.pdf?arnumber=10587372
Reference14 articles.
1. Reinforcement learning for optimized trade execution
2. A reinforcement learning extension to the Almgren-Chriss framework for optimal trade execution
3. Mean-Variance Hedging and Forward-Backward Stochastic Differential Filtering Equations
4. Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework
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