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q-fin.PM2023
Wasserstein-Kelly Portfolios: A Robust Data-Driven Solution to Optimize Portfolio Growth
Jonathan Yu-Meng Li
We introduce a robust variant of the Kelly portfolio optimization model, called the Wasserstein-Kelly portfolio optimization. Our model, taking a Wasserstein distributionally robus…
q-fin.PM2021
WaveCorr: Correlation-savvy Deep Reinforcement Learning for Portfolio Management
Saeed Marzban, Erick Delage, Jonathan Yumeng Li +2
The problem of portfolio management represents an important and challenging class of dynamic decision making problems, where rebalancing decisions need to be made over time with th…