| Autor: |
Bayaraa Enkhsaikhan, Ohyun Jo |
| Jazyk: |
angličtina |
| Rok vydání: |
2024 |
| Předmět: |
|
| Zdroj: |
ICT Express, Vol 10, Iss 4, Pp 857-862 (2024) |
| Druh dokumentu: |
article |
| ISSN: |
2405-9595 |
| DOI: |
10.1016/j.icte.2024.04.010 |
| Popis: |
This investigation explores Reinforcement Learning (RL) for dynamic portfolio optimization with risk assessment. The challenges include market complexity, uncertain reactions, and regulatory requirements for risk-averse decisions. Our solution leverages Bayesian Neural Network (BNN) to capture uncertainties. We successfully implemented a risk-averse Reinforcement Learning algorithm, achieving 18 percent lower risk. Reinforcement Learning with risk-aversion shows promise for optimizing portfolios for risk-averse investors. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
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