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Apr, 2024
简单解析在强化学习中的投资组合分配约束
Simplex Decomposition for Portfolio Allocation Constraints in Reinforcement Learning
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David Winkel, Niklas Strauß, Matthias Schubert, Thomas Seidl
TL;DR
我们提出一种基于分解约束空间的方法来处理分配约束,该方法在投资组合优化任务中表现出优于现有方法的性能。
Abstract
portfolio optimization
tasks describe sequential decision problems in which the investor's wealth is distributed across a set of assets.
allocation constraints
are used to enforce minimal or maximal investments i
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