Reinforcement-Learning based Portfolio Management with Augmented Asset Movement Prediction States.
Yunan YeHengzhi PeiBoxin WangPin-Yu ChenYada ZhuJun XiaoBo LiPublished in: CoRR (2020)
Keyphrases
- portfolio management
- asset allocation
- reinforcement learning
- transaction costs
- sharpe ratio
- financial data
- portfolio optimization
- portfolio selection
- factor analysis
- financial time series
- learning algorithm
- decision making
- state space
- optimal policy
- optimal portfolio
- data mining
- optimization algorithm
- signal processing
- dynamic programming
- multi objective
- machine learning