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Edoardo Vittori

dblp:255/5097 · DBLP profile ↗
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2ranked-venue papers
0as first author
1since 2021 · last 2021
0000-0003-4648-1797ORCID · corroborated

Domains — the database's venue-derived domains; a paper can count in several

Artificial intelligence and machine learning · 2 · 1 since 2021Databases, data management, data science and information retrieval · 1 · 1 since 2021Graphics, computer vision, multimedia, augmented reality and games · 1

Expertise — from the expertise taxonomy: the topics of the expert's papers under the CCF categories. A weight counts papers with recency: 1 for a paper about the topic, 0.3 when the topic is its context, halved every five years.

Artificial intelligence
1 paper
Reinforcement learning · 100%
Interdisciplinary, comprehensive, and emerging computing
1 paper
Computational finance and economics · 100%

Topics — the 4 heaviest of 4, each with the papers that count most for it

TopicWeightPapersLastEvidence papers
Machine learning › Reinforcement learning › policy optimization
policy gradient
0.412020
Risk-Averse Trust Region Optimization for Reward-Volatility Reduction · IJCAI 2020
Machine learning › Reinforcement learning › policy optimization
proximal policy optimization
0.412020
Risk-Averse Trust Region Optimization for Reward-Volatility Reduction · IJCAI 2020
Machine learning › Reinforcement learning › safe reinforcement learning
risk-sensitive reinforcement learning
0.412020
Risk-Averse Trust Region Optimization for Reward-Volatility Reduction · IJCAI 2020
Computational finance and economics
algorithmic trading
0.112020
Risk-Averse Trust Region Optimization for Reward-Volatility Reduction · IJCAI 2020

Methods — techniques the papers use, named apart from their topics

trust region optimization · 0.9policy gradient · 0.9
YearPublicationVenuePosition
2021 Conservative Online Convex Optimization
Martino Bernasconi, Edoardo Vittori, Francesco Trovò, Marcello Restelli
ECML/PKDD (1)2
2020 Risk-Averse Trust Region Optimization for Reward-Volatility Reduction
abstract
The use of reinforcement learning in algorithmic trading is of growing interest, since it offers the opportunity of making profit through the development of autonomous artificial traders, that do not depend on hard-coded rules. In such a framework, keeping uncertainty under control is as important as maximizing expected returns. Risk aversion has been addressed in reinforcement learning through measures related to the distribution of returns. However, in trading it is essential to keep under control the risk of portfolio positions in the intermediate steps. In this paper, we define a novel measure of risk, which we call reward volatility, consisting of the variance of the rewards under the state-occupancy measure. This new risk measure is shown to bound the return variance so that reducing the former also constrains the latter. We derive a policy gradient theorem with a new objective function that exploits the mean-volatility relationship. Furthermore, we adapt TRPO, the well-known policy gradient algorithm with monotonic improvement guarantees, in a risk-averse manner. Finally, we test the proposed approach in two financial environments using real market data.
Lorenzo Bisi, Luca Sabbioni, Edoardo Vittori, Matteo Papini, Marcello Restelli
IJCAI3