Enhancing Q-learning for optimal asset allocation

Advances in Neural Information Processing Systems

Volumn , Issue , 1998, Pages 936-942

  Neuneier, Ralph ^a  

^a SIEMENS AG   (Germany)

Author keywords

[No Author keywords available]

Indexed keywords

FINANCIAL DATA PROCESSING; ITERATIVE METHODS; LEARNING ALGORITHMS; OPTIMIZATION; REINFORCEMENT LEARNING; RISK MANAGEMENT;

ASSET ALLOCATION; MARKOV DECISION PROBLEM; MULTI-PERIOD; PORTFOLIO MANAGEMENTS; Q-LEARNING; Q-LEARNING ALGORITHMS; RISK PREFERENCE; TRANSACTION COST;

INVESTMENTS;

EID: 0008813537     PISSN: 10495258     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (11)

1. D. P. Bertsekas. Dynamic Programming and Optimal Control, vol. 1. Athena Scientific, 1995.
2. D. P. Bertsekas and J. N. Tsitsiklis. Neuro-Dynamic Programming. Athena Scientific, 1996.
3. M. Choey and A. S. Weigend. Nonlinear trading models through Sharpe Ratio maximization. In proc. ofNNCM'96, 1997. World Scientific.
4. E. J. Elton and M. J. Gruber. Modern Portfolio Theory and Investment Analysis. 1995.
5. J. Moody, L. Whu, Y. Liao, and M. Saffell. Performance Functions and Reinforcement Learning for Trading Systems and Portfolios. Journal of Forecasting, 1998. forthcoming.
6. R. Neuneier. Optimal asset allocation using adaptive dynamic programming. In proc. of Ad-vances in Neural Information Processing Systems, vol. 8, 1996.
7. R. Neuneier, H. G. Zimmermann, P. Hierve, and P. Nairn. Advanced Adaptive Asset Allocation. EU Neuro-Demonstrator, 1997.
8. R. Neuneier, H. G. Zimmermann, and S. Siekmann. Advanced Neuro-Fuzzy in Finance: Pre-dicting the German Stock Index DAX, 1996. Invited presentation at ICONIP'96, Hong Kong, availabel by email from Ralph.Neuneier@mchp.siemens.de.
9. M. L. Puterman. Markov Decision Processes. John Wiley & Sons, 1994.
10. S. P. Singh. Learning to Solve Markovian Decision Processes. CMPSCI TR 93-77, University of Massachusetts, November 1993.
11. C. J. C. H. Watkins and P. Dayan. Technical Note: Q-Learning. Machine Learning: Special Issue on Reinforcement Learning, 8, 3/4:279-292, May 1992.