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

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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