Tail-aware reinforcement learning via copula-based scenario generation: computational algorithms and empirical evidence
Communications in Statistics - Simulation and Computation, sa.-, ss.1-27, 2026 (SCI-Expanded)
- Yayın Türü: Makale / Tam Makale
- Basım Tarihi: 2026
- Doi Numarası: 10.1080/03610918.2026.2689446
- Dergi Adı: Communications in Statistics - Simulation and Computation
- Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED)
- Sayfa Sayıları: ss.1-27
- Eskişehir Osmangazi Üniversitesi Adresli: Evet
Özet
Traditional risk models often fail during market crises due to extreme volatility and fat-tail characteristics. To address this, this study proposes a “Tail-Aware RL” architecture that integrates Extreme Value Theory (EVT), Student-t copula, and the Soft Actor-Critic (SAC) algorithm. The framework models marginal tails via POT-EVT and dependence via t-copula, employing a hybrid training strategy (70% synthetic, 30% real data) to mitigate overfitting. Empirical analyses on S&P 100 and BIST 30 indices (2012–2025), covering the COVID-19 and 2023 Banking crises, demonstrate that the model significantly outperforms baseline RL approaches. Specifically, Maximum Drawdown rates improved from 34% to 19% for BIST 30 and from 29% to 14% for S&P100. Validated by Jobson-Korkie and Block-Bootstrap tests, these results indicate that the proposed architecture enhances capital protection and offers a robust alternative for dynamic portfolio management during periods of systemic risk.