Haoran Wang

Columbia University - Department of Industrial Engineering and Operations Research (IEOR)

Postdoc Research Scientist

331 S.W. Mudd Building

500 West 120th Street

New York, NY 10027

United States

SCHOLARLY PAPERS

3

DOWNLOADS

426

SSRN CITATIONS
Rank 22,049

SSRN RANKINGS

Top 22,049

in Total Papers Citations

41

CROSSREF CITATIONS

2

Ideas:
“  Current works focus on the interdisciplinary research of reinforcement learning, stochastic control and mathematical finance, with ideas from one field applied to challenging problems in another.  ”

Scholarly Papers (3)

1.

Continuous-Time Mean-Variance Portfolio Selection: A Reinforcement Learning Framework

Number of pages: 39 Posted: 29 May 2019
Haoran Wang and Xun Yu Zhou
Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 184 (187,907)
Citation 42

Abstract:

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Reinforcement learning, mean-variance portfolio selection, entropy regularization, stochastic control, value function, Gaussian distribution, policy improvement theorem

2.

Large Scale Continuous-Time Mean-Variance Portfolio Allocation via Reinforcement Learning

Number of pages: 15 Posted: 06 Aug 2019
Haoran Wang
Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 137 (240,510)

Abstract:

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reinforcement learning, mean-variance portfolio selection, entropy regularization, stochastic control, Gaussian exploration, policy improvement theorem, high dimensional portfolio allocation

3.

Exploration versus Exploitation in Reinforcement Learning: A Stochastic Control Approach

Number of pages: 33 Posted: 27 Jan 2019 Last Revised: 15 Feb 2019
Columbia University - Department of Industrial Engineering and Operations Research (IEOR), University of Texas at Austin - Red McCombs School of Business and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 105 (292,384)
Citation 4

Abstract:

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Reinforcement Learning, Exploration, Exploitation, Entropy Regularization, Stochastic Control, Relaxed Control, Linear-Quadratic, Gaussian