Continuous‐time mean–variance portfolio selection: A reinforcement learning framework (Q5855957)
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scientific article; zbMATH DE number 7326784
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Continuous‐time mean–variance portfolio selection: A reinforcement learning framework |
scientific article; zbMATH DE number 7326784 |
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Continuous‐time mean–variance portfolio selection: A reinforcement learning framework (English)
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23 March 2021
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empirical study
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entropy regularization
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Gaussian distribution
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mean-variance portfolio selection
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policy improvement
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reinforcement learning
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simulation
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stochastic control
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theorem
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value function
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