Trust Region Volatility Optimization
Presentation
@ EMAF 2020
At the EMAF 2020 conference on Mathematical and Statistical Methods for Actuarial Sciences and Finance, 18-23 September 2020 (link), I presented my research work on risk-averse reinforcement learning and specifically the algorithm: Trust Region Volatility Optimization. This work proposes a novel approach to managing portfolio volatility using reinforcement learning techniques.