An adaptive portfolio trading system: A risk-return portfolio optimization using recurrent reinforcement learning with expected maximum drawdown.
Saud AlmahdiSteve Y. YangPublished in: Expert Syst. Appl. (2017)
Keyphrases
- portfolio optimization
- sharpe ratio
- investment strategies
- stock market
- reinforcement learning
- trading systems
- stock price
- trading strategies
- stock exchange
- risk management
- portfolio management
- investment decisions
- portfolio selection
- financial markets
- risk measures
- factor analysis
- robust optimization
- non stationary
- test bed
- financial time series
- financial data
- problems involving
- decision support system
- bi objective
- historical data
- optimal policy
- dynamic programming
- neural network
- optimization methods
- short term
- project management
- risk averse
- long term
- ant colony optimization
- market data
- software systems