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Learning Equilibrium Mean-Variance Strategy

Dai, Min; Dong, Yuchao; Jia, Yanwei - 2021

We study a dynamic mean-variance portfolio optimization problem under the reinforcement learning framework, where an entropy regularizer is introduced to induce exploration. Due to the time-inconsistency involved in a mean-variance criterion, we aim to learn an equilibrium strategy. Under an...

Persistent link: https://www.econbiz.de/10013240451

Uniqueness of convex-ranged probabilities and applications to risk measures and games

Amarante, Massimiliano; Liebrich, Felix-Benedikt; … - In: Mathematics of operations research 50 (2025) 1, pp. 743-763

Persistent link: https://www.econbiz.de/10015211767

Red-blooded risk : the secret history of Wall Street

Brown, Aaron - 2012

Persistent link: https://www.econbiz.de/10009427753

Fair risk allocation in illiquid markets

Csóka, Péter - 2015

performance evaluation of the divisions. In this paper we use cooperative game theory and simulation to assess the possibility to …

Persistent link: https://www.econbiz.de/10010481803

Properties and comparison of risk capital allocation methods

Balog, Dóra; Bátyi, Tamás László; Csóka, Péter; … - In: European journal of operational research : EJOR 259 (2017) 2, pp. 614-625

Persistent link: https://www.econbiz.de/10011661761

Fair risk allocation in illiquid markets

Csóka, Péter - In: Finance research letters 21 (2017), pp. 228-234

Persistent link: https://www.econbiz.de/10011807792

Cooperative game with nondeterministic returns

Yang, Jian; Li, Jianbin - In: Journal of mathematical economics 88 (2020), pp. 123-140

Persistent link: https://www.econbiz.de/10012589932

Allocation of risk capital in a cost cooperative game induced by a modified expected shortfall

Bernardi, Mauro; Cerqueti, Roy; Palestini, Arsen - In: Journal of the Operational Research Society 72 (2021) 3, pp. 628-641

Persistent link: https://www.econbiz.de/10012500976

Red-Blooded Risk : The Secret History of Wall Street

Brown, Aaron - 2011 - 1st ed.

-- Principle VI: Superposition -- Principle VII: Game Theory -- Chapter 4: The Secret History of Wall Street: 1654-1982 -- Pascal … -- Chapter 5: When Harry Met Kelly -- Kelly -- Harry -- Commodity Futures -- If Harry Knew Kelly -- Investment Growth Theory … Money: The Future -- Farmers and Millers -- Money, New and Improved -- A General Theory of Money -- Value and Money …

Persistent link: https://www.econbiz.de/10012688591

A non-zero-sum investment and reinsurance game between two mean-variance insurers with dynamic CVaR constraints

Peng, Xingchun; Wang, Yushuang - In: The North American journal of economics and finance : a … 70 (2024), pp. 1-22

Persistent link: https://www.econbiz.de/10014492018