Reinforcement learning with dynamic convex risk measures

DOI10.1111/mafi.12388arXiv2112.13414OpenAlexW4225482307MaRDI QIDQ6196296

Unnamed Author, Sebastian Jaimungal

Publication date: 14 March 2024

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

Full work available at URL: https://arxiv.org/abs/2112.13414

zbMATH Keywords

reinforcement learningtrading strategiestime-consistencyactor-critic algorithmrobot controldynamic risk measurespolicy gradientfinancial hedging

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Learning and adaptive systems in artificial intelligence (68T05) Optimal stochastic control (93E20)

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