Meta algorithms for portfolio optimization using reinforcement learning

DOI10.1007/978-3-030-92711-0_11zbMATH Open1504.91292OpenAlexW4205253737MaRDI QIDQ5054166FDOQ5054166

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

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zbMATH Keywords

deep learningportfolio optimizationreinforcement learningmeta learningquantitative finance

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (7)

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

Uses Software

• CORN
• Adam

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