edouardberthe / adp-portfolio-selectionLinks
Approximate Dynamic Programming for Portfolio Selection Problem
☆56Updated 2 years ago
Alternatives and similar repositories for adp-portfolio-selection
Users that are interested in adp-portfolio-selection are comparing it to the libraries listed below
Sorting:
- Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization☆35Updated last year
- Numerical solution of Hamilton Jacobi Bellman equations☆27Updated 10 years ago
- End-to-end distributionally robust optimization☆34Updated 2 years ago
- Risk-Averse Distributional Reinforcement Learning: Code☆28Updated 6 years ago
- Code for the paper "Smart 'Predict, then Optimize'"☆77Updated 11 months ago
- ☆10Updated 3 years ago
- Some codes used for the numerical examples proposed in https://arxiv.org/abs/1812.05916☆14Updated 5 years ago
- Optimistic Bull or Pessimistic Bear: Adaptive Deep Reinforcement Learning for Stock Portfolio Allocation☆37Updated 6 years ago
- the codes and some preliminary progress in the work of robust stochastic portfolio optimization☆11Updated 4 years ago
- A DQN agent that optimally hedges an options portfolio.☆24Updated 5 years ago
- MATLAB code to produce results and figures in the paper "Stochastic Optimal Control of Pairs Trading Strategies with Absolute and Relativ…☆14Updated 7 years ago
- A collection of tutorials for the MOSEK package☆115Updated last month
- Materials for "RL for Inventory Optimization", Day 4 of the "RL for Operations Bootcamp", Kellogg School of Management, Northwestern Univ…☆16Updated last year
- apolanco3225 / Deep-Reinforcement-Learning-for-Optimal-Execution-of-Portfolio-Transactions-using-DDPGPerforming a trading strategy using deep deterministic policy gradients to know when to buy, hold or sell stocks in a virtual environment…☆58Updated 6 years ago
- Some implementations from the paper robust risk aware reinforcement learning☆35Updated 3 years ago
- Portfolio Optimisation is a fundamental problem in Financial Mathematics.The objective of this project is to explore the applicability of…☆12Updated 4 years ago
- The work aims to explore Value based, Deep Reinforcment Learning (Deep Q-Learning and Double Deep Q-Learning) for the problem of Optimal …☆54Updated 5 years ago
- Option hedging strategies are investigated using two reinforcement learning algorithms: deep Q network and deep deterministic policy grad…☆21Updated 5 years ago
- The repository contains the code for project for DS 5500 course at Northeastern.☆36Updated 5 years ago
- A small package for solving finite-horizon, finite-state stochastic dynamic programs.☆16Updated 5 years ago
- Usage of policy gradient reinforcement learning to solve portfolio optimization problems (Tactical Asset Allocation).☆33Updated 6 years ago
- Trading Robot based on LSTM-PPO☆27Updated 5 years ago
- MIE424 Group Project: smart_predict_optimize☆14Updated 4 years ago
- ☆19Updated 4 years ago
- Recurrent Reinforcement Learning Algorithm Matlab Implementation☆46Updated 4 years ago
- Implementation of the DDPG algorithm for Optimal Finance Trading☆44Updated 5 years ago
- Deep RL for portfolio management☆13Updated 6 years ago
- Talk Materials for "Convex Optimization for Finance"☆28Updated 2 years ago
- Source code for paper:Multi-agent reinforcement learning for liquidation strategy analysis☆57Updated 6 years ago
- Hierarchical Attention in Reinforcement Learning for Stock Order Executions☆30Updated 4 years ago