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.
Abstract/Index
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.
References
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 |
| URI: | https://tesi.luiss.it/id/eprint/29493 |
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