An application of deep reinforcement learning to fund management

Mauloni, Roberto (A.A. 2019/2020) An application of deep reinforcement learning to fund management. Tesi di Laurea in Econometric theory, Luiss Guido Carli, relatore Paolo Santucci de Magistris, pp. 92. [Master's Degree Thesis]

Full text for this thesis not available from the repository.


Asset liability management. Managing interest rate risk. Multistage stochastic dynamic programming models. Stochastic optimal control in discrete time. Markov decision processes. Policies and value functions. Bellman equations. Introduction to dynamic programming. Function approximation methods. Linear feature construction. Value error objective. Non-linear feature construction with ANNs. Policy gradient methods. Proposed algorithms. Modeling choices and results. Data pre-processing.


Bibliografia: pp. 77-83.

Thesis Type: Master's Degree Thesis
Institution: Luiss Guido Carli
Degree Program: Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56)
Chair: Econometric theory
Thesis Supervisor: Santucci de Magistris, Paolo
Thesis Co-Supervisor: Grassi, Stefano
Academic Year: 2019/2020
Session: Autumn
Deposited by: Alessandro Perfetti
Date Deposited: 14 May 2021 14:21
Last Modified: 14 May 2021 14:21


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