Continuous-time Risk-sensitive Reinforcement Learning via Quadratic Variation Penalty

By Yanwei Jia

Published 2024-04-19

Everscope rating

1655.4

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

3 / 5

About this paper

Methodology: Continuous-time Risk-sensitive Reinforcement Learning. Problem types: Reinforcement Learning, Risk Management, Portfolio Optimization.

arXiv:2404.12598 · Paper rankings

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