Following the 2007-09 financial crisis, mainstream finance theory was criticized for failing to forecast the market … crash, which resulted in large losses for investors. Has our finance theory, which many consider an idealization that does … not take reality into account, failed investors? Do we need to reconsider the theory and how it is taught (and practiced …

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

, we also find mutual fund investors learn much more slowly than Bayes' rule. Mutual fund investors' slow learning is not … lack of sophistication, but is likely due to a low payoff from learning. Our results suggest learning speed depends on the …

Portfolio selection has attracted increasing attention in machine learning and AI communities recently. Portfolio … selection using on-line learning method has been extensively investigated previously. Literature about portfolio selection using … recurrent reinforcement learning (RRL) is relatively scarce and existing ones heavily rely on single asset trading system to …

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