2 citations · 5 across the 10 of their papers we have counts for
8 papers · 1 filter
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…
Risk-sensitive investment in a finite-factor model
Grzegorz Andruszkiewicz, Mark H. A. Davis, Sébastien Lleo
A new jump diffusion regime-switching model is introduced, which allows for linking jumps in asset prices with regime changes. We prove the existence and uniqueness of the solution…
Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model
Mark Davis, Sebastien Lleo
In this article we extend earlier work on the jump-diffusion risk-sensitive asset management problem [SIAM J. Fin. Math. (2011) 22-54] by allowing jumps in both the factor process…
Risk Sensitive Investment Management with Affine Processes: a Viscosity Approach
Mark Davis, Sebastien Lleo
In this paper, we extend the jump-diffusion model proposed by Davis and Lleo to include jumps in asset prices as well as valuation factors. The criterion, following earlier work by…
Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model
Mark Davis, Sebastien Lleo
This paper considers a portfolio optimization problem in which asset prices are represented by SDEs driven by Brownian motion and a Poisson random measure, with drifts that are fun…
Jump-Diffusion Risk-Sensitive Asset Management
Mark H. A. Davis, Sebastien Lleo
This paper considers a portfolio optimization problem in which asset prices are represented by SDEs driven by Brownian motion and a Poisson random measure, with drifts that are fun…