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WaveCorr: Correlation-savvy Deep Reinforcement Learning for Portfolio Management.
Saeed Marzban
Erick Delage
Jonathan Yu-Meng Li
Jeremie Desgagne-Bouchard
Carl Dussault
Published in:
CoRR (2021)
Keyphrases
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portfolio management
reinforcement learning
portfolio selection
portfolio optimization
financial data
transaction costs
decision making
dynamic programming
machine learning
risk management
factor analysis
learning algorithm
optimal policy
metaheuristic
discriminant analysis