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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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| Publicat a: | R Soc Open Sci |
|---|---|
| Autors principals: | , |
| Format: | Artigo |
| Idioma: | Inglês |
| Publicat: |
The Royal Society Publishing
2017
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| Matèries: | |
| Accés en línia: | https://ncbi.nlm.nih.gov/pmc/articles/PMC5717697/ https://ncbi.nlm.nih.gov/pubmed/29291122 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1098/rsos.171377 |
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