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Seminar: Duy Nguyen, Marist College, Continuous time optimal investment: A reinforcement learning approach

January 18, 2023 | 4:15 pm - 5:15 pm EST

In this talk, we study an exploration version of continuous time expected utility maximization problem with reinforcement learning. It is shown that the optimal feedback policy is Gaussian. We then prove a policy improvement theorem. An implementable reinforcement learning algorithm is designed. Numerical examples are provided for illustrations.

Details

Date:
January 18, 2023
Time:
4:15 pm - 5:15 pm EST
Event Category:

Venue

SAS 4201