This article aims to enhance factor investing with reinforcement learning (RL) techniques. The agent learns through …

We survey the recent literature on learning in financial markets. Our main theme is that many financial market … uncertain and subject to learning. We discuss phenomena related to the volatility and predictability of asset returns, stock …

We survey the recent literature on learning in financial markets. Our main theme is that many financial market … uncertain and subject to learning. We discuss phenomena related to the volatility and predictability of asset returns, stock …

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 …

to strategies which ignore learning in the latent factors. We also provide calibration results for a particular model …

Reinforcement Learning (IRL) and RL. First, the IRL component learns the intent of fund managers as suggested by their trading …