Matthew Dixon
Likes
70
Date
2023/03/15
ML Score
4
Job
CFX Labs Inc. | Co-Founder
Content
I'll be presenting my latest paper with Dominic O'Kane (EDHEC) and Ivan Gvozdanovic (Illinois Tech) on Time Consistent Reinforcement Learning for Optimal Consumption under Epstein-Zin Preferences at DSCO'23 (https://lnkd.in/d993qpaq) in San Francisco today as part of a session on Reinforcement Learning in Wealth Management. See paper here (https://lnkd.in/gfQWQqr4).The mean-variance utility framework is ubiquitous in investment and wealth management. However, while this captures an agent's risk aversion, it does not express their ``time preferences'' (elasticity of intertemporal substitution), which is a well known behavioral phenomenon in economics. We develop new time consistent Q-learning algorithms for optimal consumption based dynamic utility and provide an example in wealth management. #wealthmanagement #reinforcementlearning #quant #quantitativefinance #datascience #economics
Property
Comments
2
Type
Post
TOP