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

DOI10.1063/5.0155574zbMATH Open1537.91283MaRDI QIDQ6550745

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

Publication date: 5 June 2024

Published in: Chaos (Search for Journal in Brave)

Mathematics Subject Classification ID

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

Cites Work

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• Statistical analysis of financial networks
• Neural network stochastic differential equation models with applications to financial data forecasting
• Contagion in financial networks
• Entropy-SGD: biasing gradient descent into wide valleys
• An end-to-end deep learning approach for extracting stochastic dynamical systems with \(\alpha\)-stable Lévy noise

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