edouardberthe / adp-portfolio-selectionLinks
Approximate Dynamic Programming for Portfolio Selection Problem
☆56Updated 3 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:
- Numerical solution of Hamilton Jacobi Bellman equations☆29Updated 11 years ago
- End-to-end distributionally robust optimization☆37Updated 2 years ago
- Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization☆37Updated last year
- MATLAB code to produce results and figures in the paper "Stochastic Optimal Control of Pairs Trading Strategies with Absolute and Relativ…☆15Updated 7 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 …☆56Updated 6 years ago
- Risk-Averse Distributional Reinforcement Learning: Code☆28Updated 7 years ago
- Optimistic Bull or Pessimistic Bear: Adaptive Deep Reinforcement Learning for Stock Portfolio Allocation☆37Updated 6 years ago
- 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
- Option hedging strategies are investigated using two reinforcement learning algorithms: deep Q network and deep deterministic policy grad…☆21Updated 6 years ago
- Reproduce the result of the paper "Deep Learning with Long Short-Term Memory Networks for Financial Market Prediction"☆19Updated 5 years ago
- The repository contains the code for project for DS 5500 course at Northeastern.☆36Updated 6 years ago
- Usage of policy gradient reinforcement learning to solve portfolio optimization problems (Tactical Asset Allocation).☆33Updated 6 years ago
- Implementation of the DDPG algorithm for Optimal Finance Trading☆45Updated 6 years ago
- Some codes used for the numerical examples proposed in https://arxiv.org/abs/1812.05916☆13Updated 6 years ago
- Deep RL for portfolio management☆13Updated 7 years ago
- ☆18Updated 5 years ago
- Build DDPG models and test on stock market☆22Updated 7 years ago
- A DQN agent that optimally hedges an options portfolio.☆25Updated 5 years ago
- Source code for paper:Multi-agent reinforcement learning for liquidation strategy analysis☆58Updated 6 years ago
- Using Reinforcement Learning with Deep Deterministic Policy Gradient for Portfolio Optimization☆10Updated 3 years ago
- Portfolio Optimisation is a fundamental problem in Financial Mathematics.The objective of this project is to explore the applicability of…☆13Updated 5 years ago
- Some implementations from the paper robust risk aware reinforcement learning☆36Updated 4 years ago
- A collection of tutorials for the MOSEK package☆126Updated 2 weeks ago
- Python code to perform risk-sensitive Reinforcement Learning with dynamic convex risk measures☆23Updated last year
- the codes and some preliminary progress in the work of robust stochastic portfolio optimization☆11Updated 5 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆16Updated 6 years ago
- Trading Robot based on LSTM-PPO☆28Updated 6 years ago
- CVXPY Portfolio Optimization Sample☆45Updated 8 years ago
- 2 algorithms of optimal trade execution: 1) Dynamic Programming 2) Frank-Wolfe Algorithm (Python & C++)☆18Updated 6 years ago
- Estimating Value-at-Risk with a recurrent neural network (Jordan type) GARCH model☆72Updated 6 years ago