Search Results for author: David Winkel

Found 1 papers, 0 papers with code

Simplex Decomposition for Portfolio Allocation Constraints in Reinforcement Learning

no code implementations16 Apr 2024 David Winkel, Niklas Strauß, Matthias Schubert, Thomas Seidl

In this paper, we propose a novel approach to handle allocation constraints based on a decomposition of the constraint action space into a set of unconstrained allocation problems.

Portfolio Optimization reinforcement-learning +1

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