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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.


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


SAS 4201