  We introduce a reinforcement learning framework for retail robo-advising. The
robo-advisor does not know the investor's risk preference, but learns it over
time by observing her portfolio choices in different market environments. We
develop an exploration-exploitation algorithm which trades off costly
solicitations of portfolio choices by the investor with autonomous trading
decisions based on stale estimates of investor's risk aversion. We show that
the algorithm's value function converges to the optimal value function of an
omniscient robo-advisor over a number of periods that is polynomial in the
state and action space. By correcting for the investor's mistakes, the
robo-advisor may outperform a stand-alone investor, regardless of the
investor's opportunity cost for making portfolio decisions.

Portfolio Management;Machine Learning;Machine Learning