Deep Reinforcement Learning and Convex Mean-Variance Optimisation for Portfolio Management
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- Zhengyao Jiang & Dixing Xu & Jinjun Liang, 2017. "A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem," Papers 1706.10059, arXiv.org, revised Jul 2017.
- Volodymyr Mnih & Koray Kavukcuoglu & David Silver & Andrei A. Rusu & Joel Veness & Marc G. Bellemare & Alex Graves & Martin Riedmiller & Andreas K. Fidjeland & Georg Ostrovski & Stig Petersen & Charle, 2015. "Human-level control through deep reinforcement learning," Nature, Nature, vol. 518(7540), pages 529-533, February.
- Stephen Boyd & Enzo Busseti & Steven Diamond & Ronald N. Kahn & Kwangmoo Koh & Peter Nystrup & Jan Speth, 2017. "Multi-Period Trading via Convex Optimization," Papers 1705.00109, arXiv.org.
- Angelos Filos, 2019. "Reinforcement Learning for Portfolio Management," Papers 1909.09571, arXiv.org.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-BIG-2022-04-25 (Big Data)
- NEP-CMP-2022-04-25 (Computational Economics)
- NEP-RMG-2022-04-25 (Risk Management)
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