Robust Risk-Aware Reinforcement Learning

1 code implementation • 23 Aug 2021 • Sebastian Jaimungal, Silvana Pesenti, Ye Sheng Wang, Hariom Tatsat

We present a reinforcement learning (RL) approach for robust optimisation of risk-aware performance criteria.

reinforcement-learning Reinforcement Learning (RL)

Risk contributions of lambda quantiles

no code implementations • 28 Jun 2021 • Akif Ince, Ilaria Peri, Silvana Pesenti

We further derive the Euler decomposition of lambda quantiles for generic portfolios and show that lambda quantiles are homogeneous in the space of portfolio compositions, with a homogeneity degree that depends on the portfolio composition and the lambda function.

Portfolio Optimisation within a Wasserstein Ball

1 code implementation • 8 Dec 2020 • Silvana Pesenti, Sebastian Jaimungal

We study the problem of active portfolio management where an investor aims to outperform a benchmark strategy's risk profile while not deviating too far from it.

Management