The reinforcement learning Kelly strategy

DOI10.1080/14697688.2022.2049356zbMath1497.91278OpenAlexW4220814865MaRDI QIDQ5092658

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Publication date: 22 July 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2022.2049356

zbMATH Keywords

Kelly criterionreinforcement learningportfolio selectionfractional Kelly strategy

Mathematics Subject Classification ID

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

Cites Work

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• Optimum consumption and portfolio rules in a continuous-time model
• Optimal portfolios for logarithmic utility.
• CDF formulation for solving an optimal reinsurance problem
• Shrinkage estimation of Kelly portfolios
• Continuous‐time mean–variance portfolio selection: A reinforcement learning framework

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