Chinese Journal of Engineering Mathematics
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LI Roujia, DUAN Qihong, FENG Zhuohang, LIU Jia
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Key words: Bayesian reinforcement learning, robust risk measure, portfolio selection, second-order cone programming
LI Roujia, DUAN Qihong, FENG Zhuohang, LIU Jia. Multi-stage Bayesian Reinforcement Learning Robust Portfolio Selection Model[J]. Chinese Journal of Engineering Mathematics, doi: 10.3969/j.issn.1005-3085.2024.02.003.
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URL: http://jgsx-csiam.org.cn/EN/10.3969/j.issn.1005-3085.2024.02.003