Related papers: Deep Reinforcement Learning and Mean-Variance Stra…
We consider two data-driven approaches to hedging, Reinforcement Learning and Deep Trajectory-based Stochastic Optimal Control, under a stepwise mean-variance objective. We compare their performance for a European call option in the…
The optimal objective is a fundamental aspect of reinforcement learning (RL), as it determines how policies are evaluated and optimized. While total return maximization is the ideal objective in RL, discounted return maximization is the…
This paper presents an innovative online portfolio selection model, situated within a meta-learning framework, that leverages a mixture policies strategy. The core idea is to simulate a fund that employs multiple fund managers, each skilled…
Deep Reinforcement Learning (RL) has emerged as a powerful method for addressing complex control problems, particularly those involving underactuated robotic systems. However, in some cases, policies may require refinement to achieve…
This paper introduces a deep reinforcement learning (RL) framework for optimizing the operations of power plants pairing renewable energy with storage. The objective is to maximize revenue from energy markets while minimizing storage…
This study explores the use of Transformer-based models to predict both covariance and semi-covariance matrices for ETF portfolio optimization. Traditional portfolio optimization techniques often rely on static covariance estimates or…
Deep reinforcement learning is actively used for training autonomous car policies in a simulated driving environment. Due to the large availability of various reinforcement learning algorithms and the lack of their systematic comparison…
Reinforcement learning has achieved great success in many decision-making tasks, and traditional reinforcement learning algorithms are mainly designed for obtaining a single optimal solution. However, recent works show the importance of…
Sustainable Investing identifies the approach of investors whose aim is twofold: on the one hand, they want to achieve the best compromise between portfolio risk and return, but they also want to take into account the sustainability of…
Reinforcement learning (RL) is an innovative approach to financial decision making, offering specialized solutions to complex investment problems where traditional methods fail. This review analyzes 167 articles from 2017--2025, focusing on…
Financial portfolio management is one of the problems that are most frequently encountered in the investment industry. Nevertheless, it is not widely recognized that both Kelly Criterion and Risk Parity collapse into Mean Variance under…
In recent years deep neural networks have been successfully applied to the domains of reinforcement learning \cite{bengio2009learning,krizhevsky2012imagenet,hinton2006reducing}. Deep reinforcement learning \cite{mnih2015human} is reported…
Classical portfolio optimization often requires forecasting asset returns and their corresponding variances in spite of the low signal-to-noise ratio provided in the financial markets. Modern deep reinforcement learning (DRL) offers a…
Deep learning offers new tools for portfolio optimization. We present an end-to-end framework that directly learns portfolio weights by combining Long Short-Term Memory (LSTM) networks to model temporal patterns, Graph Attention Networks…
A new framework for portfolio diversification is introduced which goes beyond the classical mean-variance approach and portfolio allocation strategies such as risk parity. It is based on a novel concept called portfolio dimensionality that…
Deep Learning has revolutionized machine learning and artificial intelligence, achieving superhuman performance in several standard benchmarks. It is well-known that deep learning models are inefficient to train; they learn by processing…
Prediction models are traditionally optimized independently from their use in the asset allocation decision-making process. We address this shortcoming and present a framework for integrating regression prediction models in a mean-variance…
Stock trading strategies play a critical role in investment. However, it is challenging to design a profitable strategy in a complex and dynamic stock market. In this paper, we propose an ensemble strategy that employs deep reinforcement…
Training a deep neural network to maximize a target objective has become the standard recipe for successful machine learning over the last decade. These networks can be optimized with supervised learning, if the target objective is…
We study the dynamic portfolio selection of an investor who uses deep learning methods to forecast stock market excess returns. In a two-asset allocation problem, deep neural networks -- both feedforward and long short-term memory (LSTM)…