Robust Risk-Aware Reinforcement Learning

DOI10.1137/21M144640XzbMath1484.91426arXiv2108.10403OpenAlexW4214588671MaRDI QIDQ5065087

Silvana M. Pesenti, Hariom Tatsat, Ye Sheng Wang, Sebastian Jaimungal

Publication date: 18 March 2022

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2108.10403

zbMATH Keywords

portfolio optimizationreinforcement learningrobust optimizationrisk measuresWasserstein distancestatistical arbitrage

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10) Robustness in mathematical programming (90C17)

Related Items (2)

Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning ⋮ Recent advances in reinforcement learning in finance

Uses Software

• ALGENCAN

Cites Work

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• On the intuition of rank-dependent utility
• Risk-sensitive reinforcement learning
• Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
• Algorithmic Trading with Model Uncertainty
• Nonparametric Kernel Density Estimation and Its Computational Aspects
• The Dual Theory of Choice under Risk
• Ambiguity in portfolio selection
• Envelope Theorems for Arbitrary Choice Sets
• Practical Augmented Lagrangian Methods for Constrained Optimization

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