118 citations · 425 across the 31 of their papers we have counts for
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q-fin.PM2019★ 1 cited
Large scale continuous-time mean-variance portfolio allocation via reinforcement learning
Haoran Wang
We propose to solve large scale Markowitz mean-variance (MV) portfolio allocation problem using reinforcement learning (RL). By adopting the recently developed continuous-time expl…
q-fin.PM2019★ 28 cited
Continuous-Time Mean-Variance Portfolio Selection: A Reinforcement Learning Framework
Haoran Wang, Xun Yu Zhou
We approach the continuous-time mean-variance (MV) portfolio selection with reinforcement learning (RL). The problem is to achieve the best tradeoff between exploration and exploit…