On Optimal Tracking Portfolio in Incomplete Markets: The Reinforcement Learning Approach

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},
}