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A Q-learning Approach to a Consumption-Investment Problem

Author

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  • Ruy Lopez-Rios

Abstract

The paper deals with a discrete-time consumption investment problem with an infinite horizon. This problem is formulated as a Markov decision process with an expected total discounted utility as an objective function. This paper aims to presents a procedure to approximate the solution via machine learning, specifically, a Q-learning technique. The numerical results of the problem are provided.

Suggested Citation

  • Ruy Lopez-Rios, 2021. "A Q-learning Approach to a Consumption-Investment Problem," International Journal of Statistics and Probability, Canadian Center of Science and Education, vol. 10(2), pages 110-110, March.
    • Handle: RePEc:ibn:ijspjl:v:10:y:2021:i:2:p:110
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    References listed on IDEAS

    as
    1. Paul A. Samuelson, 2011. "Lifetime Portfolio Selection by Dynamic Stochastic Programming," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 31, pages 465-472, World Scientific Publishing Co. Pte. Ltd..
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    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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