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Mirror Descent algorithms for Risk Budgeting Portfolios
This paper introduces and examines numerical approximation schemes for computing risk budgeting portfolios associated to positive …
Martin Arnaiz Iglesias, Adil Rengim Cetingoz, Noufel Frikha
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Mirror Descent algorithms for Risk Budgeting Portfolios
Adaptive Multilevel Stochastic Approximation of the Value-at-Risk
Crépey, Frikha and Louzi (2023) introduced a multilevel stochastic approximation scheme to compute the value-at-risk of a financial …
Stéphane Crépey, Noufel Frikha, Azar Louzi, Jonathan Spence
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Adaptive Multilevel Stochastic Approximation of the Value-at-Risk
Full error analysis of policy gradient learning algorithms for exploratory linear quadratic mean-field control problem in continuous time with common noise
We consider reinforcement learning (RL) methods for finding optimal policies in linear quadratic (LQ) mean field control (MFC) problems …
Noufel Frikha, Huyên Pham, Xuanye Song
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Full error analysis of policy gradient learning algorithms for exploratory linear quadratic mean-field control problem in continuous time with common noise
Actor-Critic learning for mean-field control in continuous time
We study policy gradient for mean-field control in continuous time in a reinforcement learning setting. By considering randomised …
Noufel Frikha, Maximilien Germain, Mathieu Laurière, Huyên Pham, Xuanye Song
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Actor-Critic learning for mean-field control in continuous time