An adaptive portfolio trading system: A risk-return portfolio optimization using recurrent reinforcement learning with expected maximum drawdown

标题
An adaptive portfolio trading system: A risk-return portfolio optimization using recurrent reinforcement learning with expected maximum drawdown
作者
关键词
Recurrent reinforcement learning, Expected maximum drawdown, Optimal portfolio rebalancing, Downside risk
出版物
EXPERT SYSTEMS WITH APPLICATIONS
Volume 87, Issue -, Pages 267-279
出版商
Elsevier BV
发表日期
2017-06-16
DOI
10.1016/j.eswa.2017.06.023

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