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Continuous-time reinforcement learning approach for portfolio management with time penalization
16 references·1 citing·37 second hop
Continuous-time reinforcement learning approach for portfolio management with time penalization (2019)Continuous-time reinforcement learning ap…Trading financial indices with reinforcement learning agents (2018)Trading financial indices wit…Deep Learning for Finance: Deep Portfolios (2016)Deep Learning for Finance: De…Deep Direct Reinforcement Learning for Financial Signal Representation and Trading (2016)Deep Direct Reinforcement Lea…EXPLICIT SOLUTIONS OF CONSUMPTION‐INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING (2009)EXPLICIT SOLUTIONS OF CONSUMP…A generalized multi-period mean–variance portfolio optimization with Markov switching parameters (2008)A generalized multi-period me…An automated FX trading system using adaptive reinforcement learning (2005)An automated FX trading syste…Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market (2004)Quadratic Hedging and Mean-Va…Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits (2004)Markowitz's Mean-Variance Por…Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Markowitz's Mean-Variance Por…Mean-Variance Portfolio Selection with Random Parameters in a Complete Market (2002)Mean-Variance Portfolio Selec…Stochastic Processes for Insurance and Finance (2001)Stochastic Processes for Insu…Learning to trade via direct reinforcement (2001)Learning to trade via direct …Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation (2000)Optimal Dynamic Portfolio Sel…Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Continuous-Time Mean-Variance…Stochastic Processes for Insurance and Finance (1999)Stochastic Processes for Insu…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*The Evolution of Reinforcement Learning in Quantitative Finance: A Survey (2025)The Evolution of Reinforcemen…Introduction to the Theory of Queues. (1963)An equilibrium characterization of the term structure (1977)Extreme Values, Regular Variation and Point Processes (1987)On minimizing the ruin probability by investment and reinsurance (2002)The application of continuous-time random walks in finance and economics (2005)On the optimal dividend problem for a spectrally negative Lévy process (2007)Portfolio Selection: Efficient Diversification of Investments (1959)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005)Controlled Markov Processes and Viscosity Solutions (2005)A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model with Delay and an Application to Finance (2017)Adapted solution of a backward stochastic differential equation (1990)Dynamic Mean-Variance Asset Allocation (2010)MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION (2012)Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Brownian Motion and Stochastic Calculus (2007)BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM (2010)Continuous‐time mean–variance portfolio selection: A reinforcement learning framework (2020)Optimum consumption and portfolio rules in a continuous-time model (1971)Option pricing: A simplified approach (1979)A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem (2017)Cryptocurrency portfolio management with deep reinforcement learning (2017)DeepLOB: Deep Convolutional Neural Networks for Limit Order Books (2019)Mean Reversion in Stock Prices: Evidence and Implications (1987)Mean reversion in stock prices (1988)The Sharpe Ratio (1994)Deep learning-based feature engineering for stock price movement prediction (2018)Deep learning for financial applications : A survey (2020)Applications of deep learning in stock market prediction: Recent progress (2021)A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks (1994)NSE Stock Market Prediction Using Deep-Learning Models (2018)Stock Market Prediction Using LSTM Recurrent Neural Network (2020)Optimal Proportional Reinsurance Policies in a Dynamic Setting (2001)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework1,009 cited
  • 2000Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation994 cited
  • 2001Stochastic Processes for Insurance and Finance839 cited
  • 2016Deep Direct Reinforcement Learning for Financial Signal Representation and Trading821 cited
  • 2016Deep Learning for Finance: Deep Portfolios765 cited
  • 2001Learning to trade via direct reinforcement548 cited
  • 2003Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model507 cited
  • 1999Stochastic Processes for Insurance and Finance499 cited
  • 2002Mean-Variance Portfolio Selection with Random Parameters in a Complete Market263 cited
  • 2004Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits226 cited
  • 2005An automated FX trading system using adaptive reinforcement learning181 cited
  • 2004Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market177 cited
  • 2009EXPLICIT SOLUTIONS OF CONSUMPTION‐INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING144 cited
  • 2008

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A generalized multi-period mean–variance portfolio optimization with Markov switching parameters
125 cited
  • 2018Trading financial indices with reinforcement learning agents117 cited
  • Cited by

    • 2025The Evolution of Reinforcement Learning in Quantitative Finance: A Survey35 cited