Lijun Bo, Yijie Huang, Xiang Yu. On Optimal Tracking Portfolio in Incomplete Markets: The Reinforcement Learning Approach. SIAM J. Control and Optimization, 63(1):321-348, 2025. [doi]
@article{BoHY25,
title = {On Optimal Tracking Portfolio in Incomplete Markets: The Reinforcement Learning Approach},
author = {Lijun Bo and Yijie Huang and Xiang Yu},
year = {2025},
doi = {10.1137/23m1620892},
url = {https://doi.org/10.1137/23m1620892},
researchr = {https://researchr.org/publication/BoHY25},
cites = {0},
citedby = {0},
journal = {SIAM J. Control and Optimization},
volume = {63},
number = {1},
pages = {321-348},
}