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}, }