Performance functions and reinforcement learning for trading systems and portfolios

Journal of Forecasting

Volumn 17, Issue 5-6, 1998, Pages 441-470

  Moody, John ^a   Wu, Lizhong ^a   Liao, Yuansong ^a   Saffell, Matthew ^a  

^a OREGON HEALTH AND SCIENCE UNIVERSITY   (United States)

Author keywords

Asset allocation; Bernoulli utility; Differential sharpe ratio; Dynamic programming; On line learning; Portfolio optimization; Recurrent reinforcement learning; Recursive updating; Reinforcement learning; State dependence; Trading systems; Transactions costs

Indexed keywords

EID: 0001164059     PISSN: 02776693     EISSN: None     Source Type: Journal    
DOI: 10.1002/(SICI)1099-131X(1998090)17:5/6<441::AID-FOR707>3.0.CO;2-%23     Document Type: Article

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