A Comparative Analysis of Portfolio Optimization Using Mean-Variance, Hierarchical Risk Parity, and Reinforcement Learning Approaches on the Indian Stock Market.
Jaydip SenAditya JaiswalAnshuman PathakAtish Kumar MajeeKushagra KumarManas Kumar SarkarSoubhik MajiPublished in: CoRR (2023)
Keyphrases
- portfolio optimization
- stock market
- stock exchange
- portfolio management
- stock price
- reinforcement learning
- portfolio selection
- risk measures
- risk management
- short term
- factor analysis
- problems involving
- bi objective
- robust optimization
- financial markets
- financial time series
- investment decisions
- long term
- financial data
- optimization methods
- non stationary
- stock index futures
- trading strategies