What is the value of the cross-sectional approach to deep reinforcement learning?

DOI10.1080/14697688.2021.2001032MaRDI QIDQ5079398zbMATH OpenOpenAlexFDO

Authors Amine Mohamed Aboussalah, Ziyun Xu, Chi-Guhn Lee

Publication date 27 May 2022

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2021.2001032

zbMATH Keywords

computational financeconvolutional neural networkscross-sectional analysisdeep learningoptimal policiesportfolio allocationportfolio optimizationreinforcement learning

Mathematics Subject Classification ID

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

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Cites work

• Asymptotic optimality and asymptotic equipartiton properties of log- optimum investment
• Cross-Section Regression with Common Shocks
• Heterogeneous trading strategies with adaptive fuzzy actor-critic reinforcement learning: a behavioral approach
• scientific article; zbMATH DE number 3179081 (Why is no real title available?)
• scientific article; zbMATH DE number 700091 (Why is no real title available?)
• scientific article; zbMATH DE number 1095138 (Why is no real title available?)
• KERNEL-BASED SEMI-LOG-OPTIMAL EMPIRICAL PORTFOLIO SELECTION STRATEGIES
• NONPARAMETRIC KERNEL‐BASED SEQUENTIAL INVESTMENT STRATEGIES
• OnActor-Critic Algorithms
• Online portfolio selection: a survey
• Regime-switching recurrent reinforcement learning for investment decision making
• Stochastic optimal control. The discrete time case
• Universal Portfolios

Cited in

(3)

• Optimal characteristic portfolios
• Meta algorithms for portfolio optimization using reinforcement learning
• Recent advances in reinforcement learning in finance

Describes a project that uses

Uses Software

• SMAC

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