相关论文: Multi-period Asset-liability Management with Reinf…

Considering the continuous-time Mean-Variance (MV) portfolio optimization problem, we study a regime-switching market setting and apply reinforcement learning (RL) techniques to assist informed exploration within the control space. We…

Traditional portfolio management methods can incorporate specific investor preferences but rely on accurate forecasts of asset returns and covariances. Reinforcement learning (RL) methods do not rely on these explicit forecasts and are…

We propose to solve large scale Markowitz mean-variance (MV) portfolio allocation problem using reinforcement learning (RL). By adopting the recently developed continuous-time exploratory control framework, we formulate the exploratory MV…

Revisiting the continuous-time Mean-Variance (MV) Portfolio Optimization problem, we model the market dynamics with a jump-diffusion process and apply Reinforcement Learning (RL) techniques to facilitate informed exploration within the…

We approach the continuous-time mean-variance (MV) portfolio selection with reinforcement learning (RL). The problem is to achieve the best tradeoff between exploration and exploitation, and is formulated as an entropy-regularized, relaxed…

Portfolio management is a fundamental problem in finance. It involves periodic reallocations of assets to maximize the expected returns within an appropriate level of risk exposure. Deep reinforcement learning (RL) has been considered a…

Financial portfolio management is one of the problems that are most frequently encountered in the investment industry. Nevertheless, it is not widely recognized that both Kelly Criterion and Risk Parity collapse into Mean Variance under…

This study investigates the mean-variance (MV) trade-off in reinforcement learning (RL), an instance of the sequential decision-making under uncertainty. Our objective is to obtain MV-efficient policies whose means and variances are located…

Reinforcement learning (RL) based investment strategies have been widely adopted in portfolio management (PM) in recent years. Nevertheless, most RL-based approaches may often emphasize on pursuing returns while ignoring the risks of the…

In this paper, we study the continuous-time multi-asset mean-variance (MV) portfolio selection using a reinforcement learning (RL) algorithm, specifically the soft actor-critic (SAC) algorithm, in the time-varying financial market. A family…

We study continuous-time mean--variance portfolio selection in markets where stock prices are diffusion processes driven by observable factors that are also diffusion processes, yet the coefficients of these processes are unknown. Based on…

We develop a portfolio allocation framework that leverages deep learning techniques to address challenges arising from high-dimensional, non-stationary, and low-signal-to-noise market information. Our approach includes a dynamic embedding…

Model-Free Reinforcement Learning has achieved meaningful results in stable environments but, to this day, it remains problematic in regime changing environments like financial markets. In contrast, model-based RL is able to capture some…

Reinforcement learning (RL) is an innovative approach to financial decision making, offering specialized solutions to complex investment problems where traditional methods fail. This review analyzes 167 articles from 2017--2025, focusing on…

This study proposes a regime-aware reinforcement learning framework for long-horizon portfolio optimization. Moving beyond traditional feedforward and GARCH-based models, we design realistic environments where agents dynamically reallocate…

This study develops and evaluates a deep reinforcement learning framework for dynamic portfolio allocation across global equity markets. The Soft Actor-Critic algorithm is used to learn continuous portfolio weights within a Markov Decision…

This study presents a Reinforcement Learning (RL)-based portfolio management model tailored for high-risk environments, addressing the limitations of traditional RL models and exploiting market opportunities through two-sided transactions…

This paper introduces a deep reinforcement learning (RL) framework for optimizing the operations of power plants pairing renewable energy with storage. The objective is to maximize revenue from energy markets while minimizing storage…

This paper proposes a novel approach for Asset-Liability Management (ALM) by employing continuous-time Reinforcement Learning (RL) with a linear-quadratic (LQ) formulation that incorporates both interim and terminal objectives. We develop a…

Dynamic portfolio optimization is the process of sequentially allocating wealth to a collection of assets in some consecutive trading periods, based on investors' return-risk profile. Automating this process with machine learning remains a…