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FSS
2002
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13 years 11 months ago
A possibilistic approach to selecting portfolios with highest utility score
The mean-variance methodology for the portfolio selection problem, originally proposed by Markowitz, has been one of the most important research fields in modern finance. In this ...
Christer Carlsson, Robert Fullér, Pé...
ICML
2010
IEEE
14 years 16 days ago
Nonparametric Return Distribution Approximation for Reinforcement Learning
Standard Reinforcement Learning (RL) aims to optimize decision-making rules in terms of the expected return. However, especially for risk-management purposes, other criteria such ...
Tetsuro Morimura, Masashi Sugiyama, Hisashi Kashim...