Variance-Penalized Reinforcement Learning for Risk-Averse Asset Allocation

Intelligent Data Engineering and Automated Learning — IDEAL 2000. Data Mining, Financial Engineering, and Intelligent Agents - Lecture Notes in Computer Science ◽

10.1007/3-540-44491-2_34 ◽

2000 ◽

pp. 244-249 ◽

Author(s):

Makoto Sato ◽

Shigenobu Kobayashi

Keyword(s):

Reinforcement Learning ◽

Asset Allocation ◽

Download Full-text

Reward Adjustment Reinforcement Learning for Risk-averse Asset Allocation

The 2006 IEEE International Joint Conference on Neural Network Proceedings ◽

10.1109/ijcnn.2006.246728 ◽

2006 ◽

Author(s):

Jian Li ◽

Laiwan Chan

Keyword(s):

Reinforcement Learning ◽

Asset Allocation ◽

Download Full-text

Reward Adjustment Reinforcement Learning for Risk-averse Asset Allocation

The 2006 IEEE International Joint Conference on Neural Network Proceedings ◽

10.1109/ijcnn.2006.1716139 ◽

2006 ◽

Author(s):

Jian Li ◽

Laiwan Chan

Keyword(s):

Reinforcement Learning ◽

Asset Allocation ◽

Download Full-text

The Use of Deep Reinforcement Learning in Tactical Asset Allocation

SSRN Electronic Journal ◽

10.2139/ssrn.3812609 ◽

2021 ◽

Author(s):

Musonda Katongo ◽

Ritabrata Bhattacharyya

Keyword(s):

Reinforcement Learning ◽

Asset Allocation ◽

Tactical Asset Allocation

Download Full-text

Combining Reinforcement Learning and Inverse Reinforcement Learning for Asset Allocation Recommendations

SSRN Electronic Journal ◽

10.2139/ssrn.4002715 ◽

2022 ◽

Author(s):

Igor Halperin ◽

Jiayu Liu ◽

Xiao Zhang ◽

Xiao Zhang

Keyword(s):

Reinforcement Learning ◽

Asset Allocation ◽

Inverse Reinforcement Learning

Download Full-text

Dynamic Asset Allocation Exploiting Predictors in Reinforcement Learning Framework

Machine Learning: ECML 2004 - Lecture Notes in Computer Science ◽

10.1007/978-3-540-30115-8_29 ◽

2004 ◽

pp. 298-309 ◽

Author(s):

Jangmin O ◽

Jae Won Lee ◽

Jongwoo Lee ◽

Byoung-Tak Zhang

Keyword(s):

Reinforcement Learning ◽

Asset Allocation ◽

Dynamic Asset Allocation ◽

Learning Framework

Download Full-text

Option hedging with risk averse reinforcement learning

10.1145/3383455.3422532 ◽

2020 ◽

Author(s):

Edoardo Vittori ◽

Michele Trapletti ◽

Marcello Restelli

Keyword(s):

Reinforcement Learning ◽

Risk Averse ◽

Download Full-text

Risk-Averse Reinforcement Learning for Algorithmic Trading

SSRN Electronic Journal ◽

10.2139/ssrn.2361899 ◽

2013 ◽

Author(s):

Yun Shen ◽

Ruihong Huang ◽

Klaus Obermayer

Keyword(s):

Reinforcement Learning ◽

Algorithmic Trading ◽

Download Full-text

Adaptive stock trading with dynamic asset allocation using reinforcement learning

Information Sciences ◽

10.1016/j.ins.2005.10.009 ◽

2006 ◽

Vol 176 (15) ◽

pp. 2121-2147 ◽

Author(s):

J O ◽

J LEE ◽

J LEE ◽

B ZHANG

Keyword(s):

Reinforcement Learning ◽

Asset Allocation ◽

Dynamic Asset Allocation ◽

Download Full-text

Beyond exponential utility functions: A variance-adjusted approach for risk-averse reinforcement learning

2014 IEEE Symposium on Adaptive Dynamic Programming and Reinforcement Learning (ADPRL) ◽

10.1109/adprl.2014.7010645 ◽

2014 ◽

Author(s):

Abhijit A. Gosavi ◽

Sajal K. Das ◽

Susan L. Murray

Keyword(s):

Reinforcement Learning ◽

Utility Functions ◽

Exponential Utility ◽

Download Full-text

Risk-averse reinforcement learning for algorithmic trading

2014 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr) ◽

10.1109/cifer.2014.6924100 ◽

2014 ◽

Author(s):

Yun Shen ◽

Ruihong Huang ◽

Chang Yan ◽

Klaus Obermayer

Keyword(s):

Reinforcement Learning ◽

Algorithmic Trading ◽

Download Full-text