Cost-Sensitive Portfolio Selection via Deep Reinforcement Learning.
Yifan ZhangPeilin ZhaoQingyao WuBin LiJunzhou HuangMingkui TanPublished in: IEEE Trans. Knowl. Data Eng. (2022)
Keyphrases
- cost sensitive
- portfolio selection
- reinforcement learning
- multi class
- cost sensitive learning
- misclassification costs
- cost sensitive classification
- active learning
- naive bayes
- class distribution
- optimal portfolio
- financial markets
- training examples
- learning algorithm
- machine learning
- multiple objectives
- support vector machine
- learning process
- feature extraction
- total cost
- genetic programming
- supervised learning
- robust optimization
- feature selection