Continuous‐time mean–variance portfolio selection: A reinforcement learning framework
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Publication:5855957
DOI10.1111/mafi.12281OpenAlexW3037286161MaRDI QIDQ5855957
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Publication date: 23 March 2021
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1904.11392
simulationstochastic controlGaussian distributionreinforcement learningvalue functionempirical studymean-variance portfolio selectionpolicy improvementtheorementropy regularization
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