on filtering techniques and learning methods, we use a Bayesian learning approach to solve the Markowitz problem and … Bayesian learning strategy, we compare it with an optimal nonlearning strategy that keeps the drift constant at all times. In … order to emphasize the prevalence of the Bayesian learning strategy above the nonlearning one in different situations, we …

We investigated investment-portfolio optimization using Reinforcement Learning (RL) with risk assessment. Due to market …

This paper proposes a self-calibrated sparse learning approach for estimating a sparse target vector, which is a …

We propose to solve large scale Markowitz mean-variance (MV) portfolio allocation problem using reinforcement learning …