Mathematical Finance & Financial Data Science Seminar
Combining Reinforcement Learning and Inverse Reinforcement Learning for Asset Allocation Recommendations
Speaker: Igor Halperin, VP of AI Asset Management, Fidelity Investments
Location: Online Zoom access provided to registrants
Date: Tuesday, May 24, 2022, 5:30 p.m.
Synopsis:
We suggest a simple practical method to combine the human and artificial intelligence to both learn best investment practices of fund managers, and provide recommendations to improve them.
Our approach is based on a combination of Inverse Reinforcement Learning (IRL) and RL. First, the IRL component learns the intent of fund managers as suggested by their trading history, and recovers their implied reward function. At the second step, this reward function is used by a direct RL algorithm to optimize asset allocation decisions. We show that our method is able to improve over the performance of individual fund managers.
Bio:
Igor Halperin is an AI Research Associate at Fidelity Investments. His research focuses on using methods of reinforcement learning, information theory, and physics for financial problems such as portfolio optimization, dynamic risk management, and inference of sequential decision-making processes of financial agents. Igor has an extensive industrial and academic experience in statistical and financial modeling, in particular in the areas of option pricing, credit portfolio risk modeling, and portfolio optimization. Prior to joining Fidelity, Igor worked as a Research Professor of Financial Machine Learning at NYU Tandon School of Engineering. Before that, Igor was an Executive Director of Quantitative Research at JPMorgan, and a quantitative researcher at Bloomberg LP. Igor has published numerous articles in finance and physics journals, and is a frequent speaker at financial conferences. He has co-authored the books “Machine Learning in Finance: From Theory to Practice” (Springer 2020) and “Credit Risk Frontiers” (Bloomberg LP, 2012). Igor has a Ph.D. in theoretical high energy physics from Tel Aviv University, and a M.Sc. in nuclear physics from St. Petersburg State Technical University.
Notes:
This event is free, but requires registration. Please click here to register. You will then receive the Zoom link by email about a day or so before the event.