16 citations · 17 across the 3 of their papers we have counts for
3 papers
q-fin.PM2024
Finding Near-Optimal Portfolios With Quality-Diversity
Bruno Gašperov, Marko Đurasević, Domagoj Jakobovic
The majority of standard approaches to financial portfolio optimization (PO) are based on the mean-variance (MV) framework. Given a risk aversion coefficient, the MV procedure yiel…
q-fin.PM2023★ 1 cited
Deep Reinforcement Learning for Robust Goal-Based Wealth Management
Tessa Bauman, Bruno Gašperov, Stjepan Begušić +1
Goal-based investing is an approach to wealth management that prioritizes achieving specific financial goals. It is naturally formulated as a sequential decision-making problem as…
q-fin.GN2022★ 16 cited
Deep Reinforcement Learning for Market Making Under a Hawkes Process-Based Limit Order Book Model
Bruno Gašperov, Zvonko Kostanjčar
The stochastic control problem of optimal market making is among the central problems in quantitative finance. In this paper, a deep reinforcement learning-based controller is trai…