Deep reinforcement learning for stock portfolio optimization by connecting with modern portfolio theory.
JunKyu JangNohYoon SeongPublished in: Expert Syst. Appl. (2023)
Keyphrases
- portfolio optimization
- stock market
- reinforcement learning
- stock price
- stock exchange
- portfolio management
- short term
- portfolio selection
- risk management
- problems involving
- factor analysis
- financial data
- non stationary
- financial time series
- optimization methods
- long term
- historical data
- financial markets
- learning algorithm
- robust optimization
- bi objective
- state space
- simulated annealing
- investment decisions
- search space
- exchange rate
- transaction costs
- trading systems
- optimization problems
- software engineering