Learning equilibrium mean‐variance strategy

DOI10.1111/MAFI.12402MaRDI QIDQ6187369zbMATH OpenFDO

Authors Min Dai, Yuchao Dong, Yanwei Jia

Publication date 31 January 2024

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/MAFI.12402

zbMATH Keywords

asset allocationentropy regularized exploration-exploitationequilibrium mean variance analysisreinforcement learning

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Portfolio theory (91G10)

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Cites work

• Consumption and Portfolio Decisions when Expected Returns are Time Varying
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Cited in

(18)

• Reinforcement learning for continuous-time mean-variance portfolio selection in a regime-switching market
• Exploratory mean-variance portfolio selection with Choquet regularizers
• Continuous-time optimal investment with portfolio constraints: a reinforcement learning approach
• A nonzero-sum game with reinforcement learning under mean-variance framework
• Continuous time reinforcement learning: a random measure approach
• Exploratory mean-variance portfolio optimization with regime-switching market dynamics
• Inference of utilities and time preference in sequential decision-making
• Sublinear regret for a class of continuous-time linear-quadratic reinforcement learning problems
• A Global-in-Time Neural Network Approach to Dynamic Portfolio Optimization
• Partially observed linear quadratic stochastic optimal control problem in infinite horizon: a data-driven approach
• Policy iteration for exploratory Hamilton-Jacobi-Bellman equations
• Convergence of policy iteration for entropy-regularized stochastic control problems
• A subgame perfect equilibrium reinforcement learning approach to time-inconsistent problems
• Continuous-time risk-sensitive reinforcement learning via quadratic variation penalty
• Self-protection and insurance demand under time-inconsistent mean-variance framework
• Feedback Cycles in Exploratory Equilibria
• Accuracy of discretely sampled stochastic policies in continuous-time reinforcement learning
• Value-aware estimation of diffusion systems for continuous-time reinforcement learning: surrogate loss and financial applications

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