RePEcML & AI Methods
Correlation Matrix Estimation with Reinforcement Learning
The paper introduces a data-driven approach using reinforcement learning to improve the correlation and covariance matrix, demonstrating superior performance in volatility, Sharpe ratio, and downside risk.
Featured in No. 78 on 12 Dec 2024 · on release day
- Released
- 12 Dec 2024
- First featured
- No. 78 · 12 Dec 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 16
- Identifier
- RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005040
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).