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2. Dirichlet policies for reinforced factor portfolios

Author

André, Eric and Coqueret, Guillaume

Subjects
Quantitative Finance - Portfolio Management, Quantitative Finance - Mathematical Finance, Statistics - Machine Learning, 60J05, 91G10, 91G60, G.3
Abstract

This article aims to combine factor investing and reinforcement learning (RL). The agent learns through sequential random allocations which rely on firms' characteristics. Using Dirichlet distributions as the driving policy, we derive closed forms for the policy gradients and analytical properties of the performance measure. This enables the implementation of REINFORCE methods, which we perform on a large dataset of US equities. Across a large range of parametric choices, our result indicates that RL-based portfolios are very close to the equally-weighted (1/N) allocation. This implies that the agent learns to be *agnostic* with regard to factors, which can partly be explained by cross-sectional regressions showing a strong time variation in the relationship between returns and firm characteristics., Comment: 37 pages

Published
2020

6. Pour toujours, mardi

Author

Giroux, Dalie, Chouinard-Poirier, Sarah, schneider, al, Robert, Jocelyn, Wren, Jacob, Letourneau, André Eric, Giroux, Dalie, Chouinard-Poirier, Sarah, schneider, al, Robert, Jocelyn, Wren, Jacob, and Letourneau, André Eric

Published
2022

13. Art performance, manœuvre, coefficients de visibilité

Author

Collet, Michel, Letourneau, André Eric, Agrafiotis, Démosthène, Bhagwati, Sandeep, Castillejo, José Luis, Clausen, Barbara, Coadou, François, Da Costa, Valérie, Collet, Michel, Letourneau, André Eric, Agrafiotis, Démosthène, Bhagwati, Sandeep, Castillejo, José Luis, Clausen, Barbara, Coadou, François, and Da Costa, Valérie

Abstract

"La genèse de l'art performance est constituée d'une multitude d'expérimentations transdisciplinaires qui ont remis en cause les modes d'existence de l'art. Prisée pour ses audaces souvent spectaculaires, la performance est aujourd'hui célébrée et présentée dans un grand nombre de lieux de diffusion de la culture. Parallèlement à ce foisonnement de performances ostentatoires, on observe la présence croissante d'autres déclinaisons du performatif : pratiques furtives, immatérielles, actions intangibles ou avisuelles… On parle à ce sujet d'infiltrations, de processus, de manœuvres, d'art in socius, de services à activer." -- Site web de l'éditeur.

Published
2019

15. Crisp Fair Gambles

Author

André, Eric, Lai Tong, Charles, Groupement de Recherche en Économie Quantitative d'Aix-Marseille (GREQAM), École Centrale de Marseille (ECM)-École des hautes études en sciences sociales (EHESS)-Centre National de la Recherche Scientifique (CNRS)-Aix Marseille Université (AMU), and École des hautes études en sciences sociales (EHESS)-Aix Marseille Université (AMU)-École Centrale de Marseille (ECM)-Centre National de la Recherche Scientifique (CNRS)

Subjects
crisp acts, jel:D81, monotone mean-variance preferences, ambiguity, set of priors, monotone mean-variance preferences,ambiguity,set of priors,crisp acts,unambiguous asset, [SHS.ECO]Humanities and Social Sciences/Economics and Finance, [SHS.ECO] Humanities and Social Sciences/Economics and Finance, monotone mean-variance preferences, Ambiguity, set of priors, crisp acts, unambiguous asset, jel:G11, unambiguous asset
Abstract

Axiomatic models of decision under ambiguity with a non-unique prior allow for the existence of Crisp Fair Gambles: acts whose expected utility is nul whichever of the priors is used. But, in these models, the DM has to be indifferent to the addition of such acts. Their existence is then at odds with a preference taking into account the variance of the prospects. In this paper we study some geometrical and topological properties of the set of priors that would rule out the existence of Crisp Fair Gambles, properties which have consequences on what can be an unambiguous financial asset.

Published
2014

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