GAOYUANYUAN / robust-risk-aware-rl

Some implementations from the paper robust risk aware reinforcement learning

robust-risk-aware-rl

Some implementations of the three examples from the paper:

Robust Risk-Aware Reinforcement Learning by Sebastian Jaimungal, Silvana Pesenti, Ye Sheng Wang, and Hariom Tatsat

https://arxiv.org/abs/2108.10403

The *.ipynb here implement three example problems solved using the approach in the paper:

• Robust static portfolio allocation
• Beating a benchmark
• Robust Statistical Arbitrage