acoache / RL-DynamicConvexRisk
Python code to perform risk-sensitive Reinforcement Learning with dynamic convex risk measures
☆20Updated last year
Alternatives and similar repositories for RL-DynamicConvexRisk:
Users that are interested in RL-DynamicConvexRisk are comparing it to the libraries listed below
- Some implementations from the paper robust risk aware reinforcement learning☆35Updated 3 years ago
- End-to-end distributionally robust optimization☆34Updated last year
- Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization☆33Updated 10 months ago
- code for "Optimal Stopping via Randomized Neural Networks"☆52Updated 11 months ago
- Robust pricing and hedging via Neural SDEs☆32Updated 3 years ago
- JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading☆25Updated last year
- Deep Optimal Stopping Project☆16Updated 5 years ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆13Updated 6 months ago
- Quant finance scripts☆15Updated 4 years ago
- ☆14Updated 2 years ago
- Bayesian Optimization of Risk Measures☆21Updated last year
- Option hedging strategies are investigated using two reinforcement learning algorithms: deep Q network and deep deterministic policy grad…☆20Updated 5 years ago
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆20Updated 10 months ago
- Deep multistep methods to solve BSDEs of first and second order for the approximation of PDE solutions☆18Updated 4 years ago
- Some example code for the "Introduction to Bayesian Reinforcement Learning" presentations☆29Updated 6 years ago
- Bayesian Uncertainty Exploration in Deep Reinforcement Learning☆18Updated 7 years ago
- Risk-Averse Distributional Reinforcement Learning: Code☆26Updated 6 years ago
- ☆13Updated 5 months ago
- A method to search for a subset of best performing items wrt black-box reward function☆12Updated 5 years ago
- Markov decision processes under model uncertainty☆14Updated 2 years ago
- Implementation of "Reinforcement Learning in Possibly Nonstationary Environments"☆9Updated 3 weeks ago
- Official implementation of the UMDQN algorithm presented in the scientific research paper entitled "Distributional Reinforcement Learning…☆11Updated 2 years ago
- ☆26Updated last year
- Hedging unsing Deep Reinforcement Learning and Deep Learning☆23Updated 4 years ago
- ☆15Updated 3 years ago
- Official Implementation of Stop-loss adjusted labels for machine learning-based trading of risky assets☆18Updated last year
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆49Updated 2 years ago
- ☆26Updated last month
- ☆43Updated 3 years ago
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆14Updated 2 years ago