Large scale continuous-time mean-variance portfolio allocation via reinforcement learning
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Cited by:
- Zhou Fang, 2023. "Continuous-Time Path-Dependent Exploratory Mean-Variance Portfolio Construction," Papers 2303.02298, arXiv.org.
- Haoran Wang & Shi Yu, 2021. "Robo-Advising: Enhancing Investment with Inverse Optimization and Deep Reinforcement Learning," Papers 2105.09264, arXiv.org.
- Haoran Wang & Xun Yu Zhou, 2020. "Continuous‐time mean–variance portfolio selection: A reinforcement learning framework," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1273-1308, October.
- Xiangyu Cui & Xun Li & Yun Shi & Si Zhao, 2023. "Discrete-Time Mean-Variance Strategy Based on Reinforcement Learning," Papers 2312.15385, arXiv.org.
- Zhou Fang, 2023. "Electricity Virtual Bidding Strategy Via Entropy-Regularized Stochastic Control Method," Papers 2303.02303, arXiv.org.
- Gang Huang & Xiaohua Zhou & Qingyang Song, 2020. "Deep reinforcement learning for portfolio management," Papers 2012.13773, arXiv.org, revised Apr 2022.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-BIG-2019-08-26 (Big Data)
- NEP-CMP-2019-08-26 (Computational Economics)
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