Portfolio Management and Crises: A Multi-Armed Bandit Approach

Inês Ferreira and Marta Moraes
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Inês Ferreira: University of Porto, FEP
Marta Moraes: University of Porto, FEP

Chapter Chapter 10 in Machine Learning Perspectives of Agent-Based Models, 2025, pp 251-268 from Springer

Abstract: Abstract In this chapter we develop and implement a Multi-Armed Bandit (MAB) to optimize equity portfolios. Then, we analyse the impact that a crisis can have on the system. The implementation of both the MAB algorithm and the crisis is made using R and RStudio software.

Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-031-73354-3_10

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DOI: 10.1007/978-3-031-73354-3_10

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