Catastrophic-risk-aware reinforcement learning with extreme-value-theory-based policy gradients

By Parisa Davar, Frédéric Godin, Jose Garrido

Published 2024-06-28

Everscope rating

1896

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: POTPG (Peaks-Over-Threshold Policy Gradient). Problem types: Reinforcement Learning, Risk Management, Portfolio Optimization.

arXiv:2406.15612 · Code · Paper rankings

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