Ensemble RL models that integrate A2C, PPO, and SAC with SVM, decision trees, and logistic regression outperform individual RL models on risk-adjusted metrics in trading, but performance is sensitive to the variance threshold tau.
Risk-constrained rein- forcement learning with percentile risk criteria.Journal of Machine Learning Research, 18(167):1–51, 2018
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Ensemble RL through Classifier Models: Enhancing Risk-Return Trade-offs in Trading Strategies
Ensemble RL models that integrate A2C, PPO, and SAC with SVM, decision trees, and logistic regression outperform individual RL models on risk-adjusted metrics in trading, but performance is sensitive to the variance threshold tau.