Haoran Wang

The Vanguard Group, Inc.

100 Vanguard Blvd

Malvern, PA 19355

United States

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Continuous‐Time Mean–Variance Portfolio Selection: A Reinforcement Learning Framework

Mathematical Finance, Vol. 30, Issue 4, pp. 1273-1308, 2020
Number of pages: 36 Posted: 07 Oct 2020
Haoran Wang and Xun Yu Zhou
The Vanguard Group, Inc. and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
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Abstract:

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empirical study, entropy regularization, Gaussian distribution, mean–variance portfolio selection, policy improvement, reinforcement learning, simulation, stochastic control, theorem, value function