78 citations · 85 across the 10 of their papers we have counts for
4 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…
Diffusion-based models for financial markets without martingale measures
Claudio Fontana, Wolfgang J. Runggaldier
We consider a general class of diffusion-based models and show that, even in the absence of an Equivalent Local Martingale Measure, the financial market may still be viable, in the…