The reinforcement learning Kelly strategy

DOI10.1080/14697688.2022.2049356MaRDI QIDQ5092658zbMATH OpenOpenAlexFDO

Authors

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

fractional Kelly strategyKelly criterionportfolio selectionreinforcement learning

Mathematics Subject Classification ID

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

Recommendations

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• PORTFOLIO SELECTION AND ONLINE LEARNING

Cites work

• CDF formulation for solving an optimal reinsurance problem
• Continuous‐time mean–variance portfolio selection: A reinforcement learning framework
• Deep learning
• scientific article; zbMATH DE number 107482 (Why is no real title available?)
• scientific article; zbMATH DE number 7307478 (Why is no real title available?)
• Optimal portfolios for logarithmic utility.
• Optimum consumption and portfolio rules in a continuous-time model
• Reinforcement learning. An introduction
• Shrinkage estimation of Kelly portfolios

Cited in

(6)

• Shrinkage estimation of Kelly portfolios
• Learning equilibrium mean‐variance strategy
• Exploratory mean-variance portfolio selection with Choquet regularizers
• A nonzero-sum game with reinforcement learning under mean-variance framework
• Exploratory mean-variance portfolio optimization with regime-switching market dynamics
• Continuous-time risk-sensitive reinforcement learning via quadratic variation penalty

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