28 citations · 28 across the 1 of their papers we have counts for
3 papers
q-fin.PM2019
Large scale continuous-time mean-variance portfolio allocation via reinforcement learning
Haoran Wang
We propose to solve large scale Markowitz mean-variance (MV) portfolio allocation problem using reinforcement learning (RL). By adopting the recently developed continuous-time expl…
q-fin.PM2019★ 28 cited
Continuous-Time Mean-Variance Portfolio Selection: A Reinforcement Learning Framework
Haoran Wang, Xun Yu Zhou
We approach the continuous-time mean-variance (MV) portfolio selection with reinforcement learning (RL). The problem is to achieve the best tradeoff between exploration and exploit…
math.OC2018
Exploration versus exploitation in reinforcement learning: a stochastic control approach
Haoran Wang, Thaleia Zariphopoulou, Xunyu Zhou
We consider reinforcement learning (RL) in continuous time and study the problem of achieving the best trade-off between exploration of a black box environment and exploitation of…