Asset allocation with inverse reinforcement learning

Using reinforcement learning to help replicate asset managers' allocation strategy


Igor Halperin, Jiayu Liu and Xiao Zhang suggest a simple practical method combining human and artificial intelligence to learn the best investment practices of fund managers and then provide recommendations to improve them. Their approach is based on a combination of inverse reinforcement learning (IRL) and reinforcement learning (RL). First, the IRL component learns the intent of fund managers as suggested by their trading history and recovers their implied

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