Meta algorithms for portfolio optimization using reinforcement learning

DOI10.1007/978-3-030-92711-0_11MaRDI QIDQ5054166zbMATH OpenOpenAlexFDO

Authors Yury Kolomeytsev

Publication date 29 November 2022

Published in Communications in Computer and Information Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-030-92711-0_11

zbMATH Keywords

deep learningmeta learningportfolio optimizationquantitative financereinforcement learning

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Portfolio theory (91G10)

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Cites work

• Nonparametric nearest neighbor based empirical portfolio selection strategies
• Online portfolio selection: a survey
• Prediction, Learning, and Games
• Universal Portfolios

Cited in

(7)

• A kernel-based trend pattern tracking system for portfolio optimization
• Adaptive stock trading with dynamic asset allocation using reinforcement learning
• Benchmarking the performance of portfolio optimization with QAOA
• What is the value of the cross-sectional approach to deep reinforcement learning?
• Deep differentiable reinforcement learning and optimal trading
• Machine Learning: ECML 2004
• Recent advances in reinforcement learning in finance

Describes a project that uses

Uses Software

• CORN
• Adam

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