Reinforcement learning for continuous-time mean-variance portfolio selection in a regime-switching market
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DOI: 10.1016/j.jedc.2023.104787
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Cited by:
- Xuefeng Gao & Lingfei Li & Xun Yu Zhou, 2024. "Reinforcement Learning for Jump-Diffusions, with Financial Applications," Papers 2405.16449, arXiv.org, revised Jan 2025.
- Min Dai & Yu Sun & Zuo Quan Xu & Xun Yu Zhou, 2024. "Learning to Optimally Stop Diffusion Processes, with Financial Applications," Papers 2408.09242, arXiv.org, revised Sep 2024.
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Keywords
Reinforcement learning; Actor-critic; Mean-variance; Portfolio selection; Partial information; Regime-switching; Wonham's filter;All these keywords.
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