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Risk-aware multi-armed bandit problem with application to portfolio selection

Sequential portfolio selection has attracted increasing interest in the machine learning and quantitative finance communities in recent years. As a mathematical framework for reinforcement learning policies, the stochastic multi-armed bandit problem addresses the primary difficulty in sequential dec...

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Detalles Bibliográficos
Autores principales: Huo, Xiaoguang, Fu, Feng
Formato: Online Artículo Texto
Lenguaje:English
Publicado: The Royal Society Publishing 2017
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5717697/
https://www.ncbi.nlm.nih.gov/pubmed/29291122
http://dx.doi.org/10.1098/rsos.171377