Factor Investing with Reinforcement Learning
“Across a large range of parametric choices, our result indicates that RL-based portfolios are very close to the equally-weighted (1/N) allocation.”
AssetEquities
StrategyFactor investing
TechniqueReinforcement learninglinear factor model
GeographyUS
Also stated: benchmark
Missing from abstract: out-of-sample test, costs, multiple testing, universe
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