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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.

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Portfolio Management and Crises: A Multi-Armed Bandit Approach

  • 章节

  • 发表日期：

    2025年

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  • Inês Ferreira,
  • Marta Moraes

摘要

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.