Asset correlation based deep reinforcement learning for the portfolio selection.
Tianlong ZhaoXiang MaXuemei LiCaiming ZhangPublished in: Expert Syst. Appl. (2023)
Keyphrases
- portfolio selection
- reinforcement learning
- financial markets
- transaction costs
- multistage stochastic
- portfolio optimization
- portfolio management
- state space
- stock market
- dynamic programming
- multiple objectives
- learning algorithm
- robust optimization
- risk management
- short term
- optimal policy
- long term
- machine learning