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We propose a reinforcement learning (RL) approach to solve the continuous-time mean-variance portfolio selection problem in a regime-switching market, where the market regime is unobservable. To encourage exploration for learning, we formulate an exploratory stochastic control problem with an...
Persistent link: https://www.econbiz.de/10014355528
Persistent link: https://www.econbiz.de/10014532362
We propose a reinforcement learning (RL) approach to solve the continuous-time mean-variance portfolio selection problem in a regime-switching market, where the market regime is unobservable. To encourage exploration for learning, we formulate an exploratory stochastic control problem with an...
Persistent link: https://www.econbiz.de/10014351428
Persistent link: https://www.econbiz.de/10011936152
Persistent link: https://www.econbiz.de/10013190345
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