4 papers
Reinforcement Learning for Risk-Sensitive Investment Management: a Free Energy--Entropy Duality Approach
Sebastien Lleo, Wolfgang Runggaldier
This paper develops a reinforcement-learning approach to continuous-time risk-sensitive benchmarked asset allocation in a partly model-based setting. The benchmarked problem does n…
Risk-Sensitive Investment Management via Free Energy-Entropy Duality
Sebastien Lleo, Wolfgang Runggaldier
We study a benchmarked risk-sensitive portfolio problem in a factor-based setting to bring together three strands of the literature: benchmarked risk-sensitive investment managemen…
Exploratory Randomization for Discrete-Time Risk-Sensitive Benchmarked Investment Management with Reinforcement Learning
Sebastien Lleo, Wolfgang Runggaldier
This paper bridges reinforcement learning (RL) and risk-sensitive stochastic control by introducing a tractable exploration mechanism for policy search in risk-sensitive portfolio…
Exploratory Randomization for Discrete-Time Linear Exponential Quadratic Gaussian (LEQG) Problem
Sebastien Lleo, Wolfgang Runggaldier
We investigate exploratory randomization for an extended linear-exponential-quadratic-Gaussian (LEQG) control problem in discrete time. This extended control problem is related to…