Deep Reinforcement Learning and Convex Mean-Variance Optimisation for Portfolio Management.
Ruan PretoriusTerence L. van ZylPublished in: CoRR (2022)
Keyphrases
- portfolio management
- portfolio selection
- reinforcement learning
- portfolio optimization
- asset allocation
- factor analysis
- learning algorithm
- convex optimization
- robust optimization
- problems involving
- transaction costs
- stock market
- stock exchange
- genetic algorithm
- financial data
- bi objective
- sharpe ratio
- optimal policy
- machine learning
- multiple objectives
- financial markets
- optimization methods
- dynamic programming
- data mining
- stock price
- risk management
- independent component analysis
- linear program
- data mining techniques
- long term