澳门新葡平台网址8883网站管理学与经济学系列前沿讲座之四八四讲
主题
Discrete-Time Mean Variance Strategy based on Reinforcement Learning
活动时间
-
活动地址
广州校区东校园兰园6号澳门新葡平台网址8883网站333课室
主讲人
崔翔宇副教授,上海财经大学统计与澳门新葡平台网址8883网站
主持人
朱书尚教授,澳门新葡平台网址8883网站
主办单位
澳门新葡平台网址8883网站财务与投资教研室

嘉宾简介:崔翔宇,中国科学技术大学学士,硕士,香港中文大学博士。现为上海财经大学统计与澳门新葡平台网址8883网站,常任教职副教授(已获得终身教职),研究员,博导。管理科学与工程学会金融计量和风险管理研究会秘书长,中国管理现代化研究会管理与决策科学专业委员会理事。主要研究领域包括行为金融,数量金融,风险管理,在Operations Research INFORMS Journal on ComputingJournal of EconometricsMathematical FinanceJournal of Economic Dynamics & Control等国际著名SSCI/SCI期刊发表论文40篇。

 

讲座简介:We have considered a discrete-time mean-variance model based on reinforcement learning. Compared to its continuous-time counterpart of Wang and Zhou (2020), the discrete-time model makes more general assumptions about the asset distribution. By using entropy to measure the cost of exploration, we derive the optimal investment strategy, which is also Gaussian type. Additionally, we design a corresponding reinforcement learning algorithm. Simulation experiments and empirical analysis indicate that the discrete-time model exhibits better applicability when analyzing real-world data compared to the continuous-time model.

扫描此二维码分享