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Data from: Risk-aware multi-armed bandit problem with application to portfolio selection

Citation

Huo, Xiaoguang; Fu, Feng (2017), Data from: Risk-aware multi-armed bandit problem with application to portfolio selection, Dryad, Dataset, https://doi.org/10.5061/dryad.h628h

Abstract

Sequential portfolio selection has attracted increasing interests in the machine learning and quantitative finance communities in recent years. As a mathematical framework for reinforcement learning policies, the stochastic multi-armed bandit problem addresses the primary difficulty in sequential decision making under uncertainty, namely the exploration versus exploitation dilemma, and therefore provides a natural connection to portfolio selection. In this paper, we incorporate risk-awareness into the classic multi-armed bandit setting and introduce an algorithm to construct portfolio. Through filtering assets based on the topological structure of financial market and combining the optimal multi-armed bandit policy with the minimization of a coherent risk measure, we achieve a balance between risk and return.

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