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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...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
The Royal Society Publishing
2017
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| 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 |