Search Results for author: Xianhua Peng

Found 2 papers, 1 papers with code

Reinforcement Learning for Financial Index Tracking

1 code implementation5 Aug 2023 Xianhua Peng, Chenyin Gong, Xue Dong He

We propose the first discrete-time infinite-horizon dynamic formulation of the financial index tracking problem under both return-based tracking error and value-based tracking error.

reinforcement-learning Reinforcement Learning (RL)

EM Algorithm and Stochastic Control in Economics

no code implementations6 Nov 2016 Steven Kou, Xianhua Peng, Xingbo Xu

Similar to the EM algorithm, the EM-C algorithm has the monotonicity of performance improvement in each iteration, leading to good convergence properties.

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