Multiagent-based deep reinforcement learning for risk-shifting portfolio management.
Yu-Cen LinChiao-Ting ChenChuan-Yun SangSzu-Hao HuangPublished in: Appl. Soft Comput. (2022)
Keyphrases
- portfolio management
- reinforcement learning
- portfolio optimization
- asset allocation
- portfolio selection
- financial data
- decision making
- transaction costs
- factor analysis
- dynamic programming
- learning algorithm
- risk management
- optimal policy
- bi objective
- robust optimization
- discriminant analysis
- signal processing
- multi objective