Reinforcement learning for continuous-time mean-variance portfolio selection in a regime-switching market
From MaRDI portal
Publication:6556141
DOI10.1016/J.JEDC.2023.104787MaRDI QIDQ6556141
Publication date: 17 June 2024
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
reinforcement learningpartial informationportfolio selectionmean-varianceregime-switchingactor-criticWonham's filter
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Regime-switching recurrent reinforcement learning for investment decision making
- Boundary conditions for the single-factor term structure equation
- Asset allocation under multivariate regime switching
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain
- Reinforcement learning and stochastic optimisation
- Exploratory LQG mean field games with entropy regularization
- The exact law of large numbers via Fubini extension and characterization of insurable risks
- Survey on multi-period mean-variance portfolio selection model
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Partially observed Markov decision processes. From filtering to controlled sensing
- Optimal trend following trading rules
- Trend Following Trading under a Regime Switching Model
- Is Regime Switching in Stock Returns Important in Portfolio Decisions?
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- Optimization Methods for Large-Scale Machine Learning
- Discrete-time approximation of Wonham filters
- Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits
- Mean‐Variance Portfolio Selection under Partial Information
- Some Applications of Stochastic Differential Equations to Optimal Nonlinear Filtering
- Portfolio optimization with unobservable Markov-modulated drift process
- Continuous‐time mean–variance portfolio selection: A reinforcement learning framework
- Entropy Regularization for Mean Field Games with Learning
- Recent advances in reinforcement learning in finance
- Learning equilibrium mean‐variance strategy
Related Items (1)
This page was built for publication: Reinforcement learning for continuous-time mean-variance portfolio selection in a regime-switching market
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6556141)