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Igor Halperin

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56
Date
2022/05/23
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ML Score
5
Job
Fidelity Investments | AI Asset Management
Content
I will be giving an online presentation tomorrow Tuesday, May 24, 5:30PM-6:45PM (Eastern Time) on "Combining Reinforcement Learning and Inverse Reinforcement Learning for Asset Allocation Recommendations" in NYU Courant's Mathematical Finance & Financial Data Science Seminar. This online event is open to the public, but requires registration. Registration & more details:https://lnkd.in/dzF832kmAbstract: We suggest a simple practical method to combine the human and artificial intelligence to both learn best investment practices of fund managers, and provide recommendations to improve them. Our approach is based on a combination of Inverse Reinforcement Learning (IRL) and RL. First, the IRL component learns the intent of fund managers as suggested by their trading history, and recovers their implied reward function. At the second step, this reward function is used by a direct RL algorithm to optimize asset allocation decisions. We show that our method is able to improve over the performance of individual fund managers.Thank you Petter Kolm for the invitation! #nyucourant #nyu #reinforcementlearning #machinelearning #trading #inversereinforcementlearning
Property
Integromat
Link
https://www.linkedin.com/feed/update/urn:li:activity:6934554348077158400
Comments
6
Type
Post
Profile
https://www.linkedin.com/in/igor-halperin-092175a/
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