Portfolio Management

Portfolio management, the optimization of investment portfolios to maximize returns while minimizing risk, is a core area of finance undergoing rapid transformation through the application of machine learning. Current research heavily emphasizes deep reinforcement learning (DRL) algorithms, such as A2C, PPO, and DQN, often combined with techniques like knowledge distillation and self-supervised learning, to develop sophisticated trading strategies that adapt to dynamic market conditions and incorporate factors like ESG scores. These advancements offer the potential for improved risk-adjusted returns and more efficient portfolio construction, impacting both academic understanding of financial markets and practical investment strategies.

Papers

December 29, 2022

A Novel Experts Advice Aggregation Framework Using Deep Reinforcement Learning for Portfolio Management
MohammadAmin Fazli, Mahdi Lashkari, Hamed Taherkhani, Jafar Habibi
Reinforcement Learning Deep Reinforcement Learning Deep RL Portfolio Management Portfolio Optimization Problem Expert Aggregation

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

September 1, 2022

MetaTrader: An Reinforcement Learning Approach Integrating Diverse Policies for Portfolio Optimization
Hui Niu, Siyuan Li, Jian Li
Reinforcement Learning Deep Reinforcement Learning Portfolio Optimization Portfolio Management Trading Policy

June 6, 2022

Balancing Profit, Risk, and Sustainability for Portfolio Management
Charl Maree, Christian W. Omlin
Reinforcement Learning High Quality Risk Description Portfolio Optimization Portfolio Management Sustainability Information Multi Agent Deep Deterministic Policy Balancing Market

March 26, 2022

A Novel Neuromorphic Processors Realization of Spiking Deep Reinforcement Learning for Portfolio Management
Seyyed Amirhossein Saeidi, Forouzan Fallah, Soroush Barmaki, Hamed Farbeh
Deep Reinforcement Learning Financial Market Portfolio Management Neuromorphic Processor Neuromorphic Chip

February 13, 2022

Deep Reinforcement Learning and Convex Mean-Variance Optimisation for Portfolio Management
Ruan Pretorius, Terence van Zyl
Deep Reinforcement Learning Portfolio Management Classical Optimization Portfolio Optimization Model Investment Strategy Mean Variance Optimization

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

December 9, 2021

High-Dimensional Stock Portfolio Trading with Deep Reinforcement Learning
Uta Pigorsch, Sebastian Schäfer
Deep Reinforcement Learning High Dimensional Deep Q Learning Portfolio Management

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

November 7, 2021

Explainable Deep Reinforcement Learning for Portfolio Management: An Empirical Approach
Mao Guan, Xiao-Yang Liu
Deep Learning Deep Neural Network Deep Reinforcement Learning Portfolio Management Explainable Deep Reinforcement Learning Prediction Sorted Portfolio

Portfolio Management

Papers

A Novel Experts Advice Aggregation Framework Using Deep Reinforcement Learning for Portfolio Management

Model-Free Reinforcement Learning for Asset Allocation

MetaTrader: An Reinforcement Learning Approach Integrating Diverse Policies for Portfolio Optimization

Balancing Profit, Risk, and Sustainability for Portfolio Management

A Novel Neuromorphic Processors Realization of Spiking Deep Reinforcement Learning for Portfolio Management

Deep Reinforcement Learning and Convex Mean-Variance Optimisation for Portfolio Management

Combining Reinforcement Learning and Inverse Reinforcement Learning for Asset Allocation Recommendations

High-Dimensional Stock Portfolio Trading with Deep Reinforcement Learning

A Meta-Method for Portfolio Management Using Machine Learning for Adaptive Strategy Selection

Explainable Deep Reinforcement Learning for Portfolio Management: An Empirical Approach