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Multi-period Asset-liability Management with Reinforcement Learning in a Regime-Switching Market
Zhongqin Gao, Ping Chen, Xun Li, Yan Lv, Wenhao Zhang
https://arxiv.org/abs/2509.03251

Multi-period Asset-liability Management with Reinforcement Learning in a Regime-Switching Market
This paper explores the mean-variance portfolio selection problem in a multi-period financial market characterized by regime-switching dynamics and uncontrollable liabilities. To address the uncertainty in the decision-making process within the financial market, we incorporate reinforcement learning (RL) techniques. Specifically, the study examines an exploratory mean-variance (EMV) framework where investors aim to minimize risk while maximizing returns under incomplete market information, infl…