Forward and Inverse Optimization 썸네일형 리스트형 [Reinforcement Learning in Finance] Forward and Inverse Optimization Forward Portfolio Optimization ProblemA multi-period risk and cost-adjusted reward maximization problem: maximize: $E_t[\sum_{t'=t}^{T-1} \gamma^{t'-t} \hat{R}_{t'}(x_{t'},a_{t'})]$- expected sum of discounted one-step rewards from all future periods.- $\gamma$ is a discount factor (1과 가까운) $\hat{R}_{t}(x_{t},a_{t})] = a_t^TR_{aat}a_t + x_t^TR_{xxt}x_t+a_t^TR_{axt}x_t + a_t^TR_{at} + x_t^TR_{xt}.. 이전 1 다음