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Learning Equilibrium Mean-variance Strategy
Min Dai
, Yuchao Dong
, Yanwei Jia
Department of Applied Mathematics
The Hong Kong Polytechnic University
School of Accounting and Finance
Research output
:
Journal article publication
›
Journal article
›
Academic research
›
peer-review
29
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Citations (Scopus)
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Keyphrases
Mean-variance
100%
Equilibrium Policy
100%
Reinforcement Learning Algorithm
66%
Numerical Experiments
33%
Gaussian Distribution
33%
Semi-analytical
33%
Portfolio Optimization
33%
Mean Return
33%
Time Inconsistency
33%
Return Model
33%
Dynamic Programming Principle
33%
Incomplete Markets
33%
Mean-variance Criterion
33%
Policy Iteration
33%
Gaussian Mean
33%
Mean-variance Portfolio Optimization
33%
Policy Improvement Theorem
33%
Reinforcement Learning Framework
33%
Entropy Regularizer
33%
Iterative Method
33%
Computer Science
Reinforcement Learning
100%
Optimization Problem
33%
Learning Framework
33%
Dynamic Programming
33%
Policy Iteration
33%
Entropy
33%
Portfolio Variance
33%
Mathematics
Mean-Variance
100%
Gaussian Distribution
50%
Exploratory
25%
Numerical Experiment
25%
Entropy
25%
Dynamic Programming
25%
Economics, Econometrics and Finance
Measure of Dispersion
100%
Portfolio Selection
33%
Incomplete Market
33%
Dynamic Programming
33%
Variance Portfolio
33%