dissertation-codes

Here are all the codes I have used for my dissertation for the MSc in Mathematical Finance at the University of Manchester (2021)

This repository contains all the progress I've made in the coding part of my dissertation, Reinforcement Learning Approach to Continuous-Time Mean-Variance Problem. In particular, I follow the RL algorithm designed by Wang and Zhou (2020). More details about the underlying theory can be found in Doya (2000), Wang (2019) and Wang et al (2019).

Regarding the structure of this repository, here you can find:

1. Python version of the EMV algorithm.
2. C++ version of the EMV algorithm.
3. Jupyter Notebook for the algorithm proposed by Hariom Tatsat.
4. Other stuff.

Moreover, there are several folders containing the obtained data, graphs, etc.