Hens, Thorsten; Wöhrmann, Peter - In: Computational Economics 29 (2007) 3, pp. 369-381
We apply the recurrent reinforcement learning method of Moody, Wu, Liao, and Saffell (1998) in the context of the strategic asset allocation computed for sample data from US, UK, Germany, and Japan. It is found that the optimal asset allocation deviates substantially from the fixed-mix rule....