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Seminar: Duy Nguyen, Marist College, Continuous time optimal investment: A reinforcement learning approach
January 18 | 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.
Meeting ID: 957 5838 0569