Reinforcement learning with dynamic convex risk measures
We develop an approach for solving time‐consistent risk‐sensitive stochastic optimization problems using model‐free reinforcement learning (RL). Specifically, we assume agents assess the risk of a sequence of random variables using dynamic convex risk measures. We employ a time‐consistent dynamic pr...
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| Published in: | Mathematical finance Vol. 34; no. 2; pp. 557 - 587 |
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| Main Authors: | , |
| Format: | Journal Article |
| Language: | English |
| Published: |
Oxford
Blackwell Publishing Ltd
01.04.2024
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| Subjects: | |
| ISSN: | 0960-1627, 1467-9965 |
| Online Access: | Get full text |
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