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Found 2 papers, 1 papers with code
Risk-Sensitive Optimal Execution via a Conditional Value-at-Risk Objective
As our problem is a special case of a linear-quadratic-Gaussian control problem with a CVaR objective, these results may be interesting in broader settings.
Thompson Sampling with Information Relaxation Penalties
With this framework, we define an intuitive family of control policies that include Thompson sampling (TS) and the Bayesian optimal policy as endpoints.
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