Learning Merton's Strategies in an Incomplete Market: Recursive Entropy Regularization and Biased Gaussian Exploration

no code implementations • 19 Dec 2023 • Min Dai, Yuchao Dong, Yanwei Jia, Xun Yu Zhou

We study Merton's expected utility maximization problem in an incomplete market, characterized by a factor process in addition to the stock price process, where all the model primitives are unknown.

Reinforcement Learning (RL)