3 papers
cs.LG2020
Bridging the gap between Markowitz planning and deep reinforcement learning
Eric Benhamou, David Saltiel, Sandrine Ungari +1
While researchers in the asset management industry have mostly focused on techniques based on financial and risk planning techniques like Markowitz efficient frontier, minimum vari…
cs.LG2020
AAMDRL: Augmented Asset Management with Deep Reinforcement Learning
Eric Benhamou, David Saltiel, Sandrine Ungari +2
Can an agent learn efficiently in a noisy and self adapting environment with sequential, non-stationary and non-homogeneous observations? Through trading bots, we illustrate how De…
q-fin.PM2020
Time your hedge with Deep Reinforcement Learning
Eric Benhamou, David Saltiel, Sandrine Ungari +1
Can an asset manager plan the optimal timing for her/his hedging strategies given market conditions? The standard approach based on Markowitz or other more or less sophisticated fi…