/robust-risk-aware-rl

Some implementations from the paper robust risk aware reinforcement learning

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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