Asset Allocation

Asset allocation, the strategic distribution of investments across different assets to optimize risk and return, is a core problem in finance. Current research focuses on improving asset allocation strategies using advanced machine learning techniques, including deep reinforcement learning (e.g., actor-critic models, PPO), Hopfield networks, and meta-learning approaches that combine multiple algorithms (e.g., switching between risk-parity strategies). These methods aim to enhance portfolio performance, particularly by incorporating realistic constraints and handling diverse market conditions, leading to more robust and efficient investment strategies. The resulting improvements in portfolio optimization have significant implications for both individual investors and institutional portfolio managers.

Papers

October 8, 2024

A Case Study of Next Portfolio Prediction for Mutual Funds
Guilherme Thomaz, Denis Maua
Case Study Portfolio Performance Mutual Fund Return Trajectory Asset Allocation

July 24, 2024

Hopfield Networks for Asset Allocation
Carlo Nicolini, Monisha Gopalan, Jacopo Staiano, Bruno Lepri
Deep Learning Hopfield Network Portfolio Optimization Portfolio Selection Asset Allocation

November 27, 2023

Improved Data Generation for Enhanced Asset Allocation: A Synthetic Dataset Approach for the Fixed Income Universe
Szymon Kubiak, Tillman Weyde, Oleksandr Galkin, Dan Philps, Ram Gopal
Synthetic Data Synthetic Dataset Data Generation Correlation Matrix Asset Allocation Asset Class

April 13, 2023

A Learnheuristic Approach to A Constrained Multi-Objective Portfolio Optimisation Problem
Sonia Bullah, Terence L. van Zyl
Heuristic Learning Constrained Multi Objective Optimization Problem Asset Allocation

January 2, 2023

Deep Reinforcement Learning for Asset Allocation: Reward Clipping
Jiwon Kim, Moon-Ju Kang, KangHun Lee, HyungJun Moon, Bo-Kwan Jeon
Reinforcement Learning Deep Reinforcement Learning Reinforcement Learning Algorithm Reward Report Portfolio Optimization Asset Allocation

September 21, 2022

Model-Free Reinforcement Learning for Asset Allocation
Adebayo Oshingbesan, Eniola Ajiboye, Peruth Kamashazi, Timothy Mbaka
Reinforcement Learning Model Free Reinforcement Learning Model Free Deep Reinforcement Learning Actor Critic Reinforcement Learning Portfolio Management Asset Allocation

July 14, 2022

Asset Allocation: From Markowitz to Deep Reinforcement Learning
Ricard Durall
Deep Reinforcement Learning Benchmark Study Investment Strategy Asset Allocation

January 6, 2022

Combining Reinforcement Learning and Inverse Reinforcement Learning for Asset Allocation Recommendations
Igor Halperin, Jiayu Liu, Xiao Zhang
Reinforcement Learning Inverse Reinforcement Learning Portfolio Management Asset Allocation

November 10, 2021

A Meta-Method for Portfolio Management Using Machine Learning for Adaptive Strategy Selection
Damian Kisiel, Denise Gorse
Machine Learning Portfolio Management Hierarchical Risk Parity Portfolio Optimization Model Asset Allocation Meta Sample Strategy Selection