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Risk-aware multi-armed bandit problem with application to portfolio selection
Sequential portfolio selection has attracted increasing interest in the machine learning and quantitative finance communities in recent years. As a mathematical framework for reinforcement learning policies, the stochastic multi-armed bandit problem addresses the primary difficulty in sequential dec...
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| Autors principals: | , |
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| Format: | Artigo |
| Idioma: | Inglês |
| Publicat: |
The Royal Society
2017-01-01
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| Col·lecció: | Royal Society Open Science |
| Matèries: | |
| Accés en línia: | https://royalsocietypublishing.org/doi/pdf/10.1098/rsos.171377 |
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