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In portfolio management (allocation) the action space is given by the weights of the assets, i.e. $\sum_{i=1}^m a_i=1$. There may be some weight constraints like one cannot allocate more than 10% of the portfolio value to a particular asset $j$ or in other words $a_j<=0.1$. What are the ways to enforce this constraint on that action (asset).

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  • $\begingroup$ just don't allow the agent to take an action greater than 0.1 for $a_j$ -- you could do this by clipping, for instance, i.e. if the agents network (assuming you're using NN's) outputted $a_j = 0.5$ you would just clip this value to 0.1. $\endgroup$ Mar 29 at 10:59

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