most citedBridging the gap between Markowitz planning and deep reinforcement learning

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cs.LG2020★ 2 cited

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…