MDPs and Bellman Equations intermediate
How controlled state transitions turn a trading problem into a sequential optimization problem.
How controlled state transitions turn a trading problem into a sequential optimization problem.
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References
Optimal Execution: A Review
Ryan Donnelly
(2022)
— Applied Mathematical Finance
Recent Advances in Reinforcement Learning in Finance
Ben Hambly, Renyuan Xu, Huining Yang
(2023)
A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem
Zhengyao Jiang, Dixing Xu, Jinjun Liang
(2017)