5 citations · 5 across the 6 of their papers we have counts for
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q-fin.PM2023
Reinforcement Learning for Financial Index Tracking
Xianhua Peng, Chenyin Gong, Xue Dong He
We propose the first discrete-time infinite-horizon dynamic formulation of the financial index tracking problem under both return-based tracking error and value-based tracking erro…
cs.LG2023★ 5 cited
Regret Bounds for Markov Decision Processes with Recursive Optimized Certainty Equivalents
Wenhao Xu, Xuefeng Gao, Xuedong He
The optimized certainty equivalent (OCE) is a family of risk measures that cover important examples such as entropic risk, conditional value-at-risk and mean-variance models. In th…