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Inference of Utilities and Time Preference in Sequential Decision-Making
This paper introduces a novel stochastic control framework to enhance the capabilities of automated investment managers, or robo-advisors, by accurately inferring clients' investment preferences from past activities.
Risk-sensitive Markov Decision Process and Learning under General Utility Functions
In this paper, we consider a scenario where the decision-maker seeks to optimize a general utility function of the cumulative reward in the framework of a Markov decision process (MDP).
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