2 papers
cs.CE2025
Evaluation of Deep Reinforcement Learning Algorithms for Portfolio Optimisation
Chung I Lu
We evaluate benchmark deep reinforcement learning algorithms on the task of portfolio optimisation using simulated data. The simulator to generate the data is based on correlated g…
cs.LG2025
Distributionally Robust Deep Q-Learning
Chung I Lu, Julian Sester, Aijia Zhang
We propose a novel distributionally robust -learning algorithm for the non-tabular case accounting for continuous state spaces where the state transition of the underlying Marko…