Model-based reinforcement learning with non-Gaussian environment dynamics and its application to portfolio optimization

DOI10.1063/5.0155574MaRDI QIDQ6550745zbMATH OpenFDO

Authors Huifang Huang, Ting Gao, Peng-Bo Li, Jin Guo, Peng Zhang, Nan du, Jinqiao Duan

Publication date 5 June 2024

Published in Chaos (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1063/5.0155574

Mathematics Subject Classification ID

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

Cites work

• An end-to-end deep learning approach for extracting stochastic dynamical systems with -stable Lévy noise
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• Neural network stochastic differential equation models with applications to financial data forecasting
• Normalizing flows for probabilistic modeling and inference
• Statistical analysis of financial networks

Cited in

(1)

• Recent achievements in nonlinear dynamics, synchronization, and networks

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