Tsue, Wing Yeung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references (leaves 94-100). / Abstracts in English and Chinese. / Abstract --- p.i / Acknowledgement --- p.vii / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Reinforcement Learning (RL) --- p.7 / Chapter 2.1 --- Objective of RL --- p.8 / Chapter 2.2 --- Algorithms in RL --- p.9 / Chapter 2.2.1 --- Dynamic Programming --- p.9 / Chapter 2.2.2 --- Monte Carlo Methods --- p.11 / Chapter 2.2.3 --- Temporal-Difference Learning and Q-Learning --- p.12 / Chapter 2.3 --- Example: Maze --- p.13 / Chapter 2.4 --- Artificial Neural Network to Approximate Q-Function --- p.14 / Chapter 2.5 --- Literatures on Trading a Single Asset by RL --- p.16 / Chapter 2.6 --- Literatures on Portfolio Management by RL --- p.19 / Chapter 2.7 --- Summary --- p.20 / Chapter 3 --- Portfolio Management (PM) --- p.21 / Chapter 3.1 --- Buy-and-Hold Strategy --- p.22 / Chapter 3.2 --- Mean-Variance Analysis --- p.23 / Chapter 3.3 --- Constant Rebalancing Algorithm --- p.24 / Chapter 3.4 --- Universal Portfolio Algorithm --- p.25 / Chapter 3.5 --- ANTI COR Algorithm --- p.26 / Chapter 4 --- PM on RL Traders --- p.30 / Chapter 4.1 --- Implementation of Single-Asset RL Traders --- p.32 / Chapter 4.1.1 --- State Formation --- p.32 / Chapter 4.1.2 --- Actions and Immediate Reward --- p.38 / Chapter 4.1.3 --- Update --- p.38 / Chapter 4.2 --- Experiments --- p.41 / Chapter 4.3 --- Discussion --- p.47 / Chapter 5 --- RL-Bascd Portfolio Management (RLPM) --- p.49 / Chapter 5.1 --- Overview --- p.52 / Chapter 5.2 --- Two-Asset RL System --- p.54 / Chapter 5.2.1 --- State Formation --- p.55 / Chapter 5.2.2 --- Action --- p.61 / Chapter 5.2.3 --- Update Rule --- p.64 / Chapter 5.3 --- Portfolio Construction --- p.67 / Chapter 5.4 --- Choice of Window Size w --- p.70 / Chapter 5.5 --- Empirical Results --- p.73 / Chapter 5.5.1 --- "Effect of Window Size w on 1 Layer of RLPMw, and 2 Layers of RLPMW" --- p.76 / Chapter 5.5.2 --- Comparing RLPM to Other Strategies --- p.80 / Chapter 5.5.3 --- Effect of Transaction Cost A on RLPMw --- p.83 / Chapter 6 --- Conclusion --- p.89 / Bibliography --- p.94
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_326268 |
| Date | January 2008 |
| Contributors | Tsue, Wing Yeung., Chinese University of Hong Kong Graduate School. Division of Computer Science and Engineering. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, xv, 100 leaves : ill. (some col.) ; 30 cm. |
| Rights | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
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