Ontology highlight
ABSTRACT:
SUBMITTER: Huo X
PROVIDER: S-EPMC5717697 | biostudies-literature | 2017 Nov
REPOSITORIES: biostudies-literature
Royal Society open science 20171115 11
Sequential portfolio selection has attracted increasing interest in the machine learning and quantitative finance communities in recent years. As a mathematical framework for reinforcement learning policies, the stochastic multi-armed bandit problem addresses the primary difficulty in sequential decision-making under uncertainty, namely the <i>exploration</i> versus <i>exploitation</i> dilemma, and therefore provides a natural connection to portfolio selection. In this paper, we incorporate risk ...[more]