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With the rapid development of artificial intelligence, data-driven methods effectively overcome limitations in traditional portfolio optimization. Conventional models primarily employ long-only mechanisms, excluding highly correlated assets…
Traditional portfolio management methods can incorporate specific investor preferences but rely on accurate forecasts of asset returns and covariances. Reinforcement learning (RL) methods do not rely on these explicit forecasts and are…
Portfolio management is a fundamental problem in finance. It involves periodic reallocations of assets to maximize the expected returns within an appropriate level of risk exposure. Deep reinforcement learning (RL) has been considered a…
In multi-agent safety-critical scenarios, traditional autonomous driving frameworks face significant challenges in balancing safety constraints and task performance. These frameworks struggle to quantify dynamic interaction risks in…
Portfolio management remains a crucial challenge in finance, with traditional methods often falling short in complex and volatile market environments. While deep reinforcement approaches have shown promise, they still face limitations in…
Reinforcement learning has been increasingly applied in monitoring applications because of its ability to learn from previous experiences and can make adaptive decisions. However, existing machine learning-based health monitoring…
Deep reinforcement learning has shown promise in trade execution, yet its use in low-frequency factor portfolio construction remains under-explored. A key obstacle is the high-dimensional, unbalanced state space created by stocks that enter…
Generating asset-specific trading signals based on the financial conditions of the assets is one of the challenging problems in automated trading. Various asset trading rules are proposed experimentally based on different technical analysis…
Reinforcement learning (RL) based investment strategies have been widely adopted in portfolio management (PM) in recent years. Nevertheless, most RL-based approaches may often emphasize on pursuing returns while ignoring the risks of the…
In dynamic programming (DP) and reinforcement learning (RL), an agent learns to act optimally in terms of expected long-term return by sequentially interacting with its environment modeled by a Markov decision process (MDP). More generally…
Modeling and managing portfolio risk is perhaps the most important step to achieve growing and preserving investment performance. Within the modern portfolio construction framework that built on Markowitz's theory, the covariance matrix of…
Accurate transfer of information across multiple sectors to enhance model estimation is both significant and challenging in multi-sector portfolio optimization involving a large number of assets in different classes. Within the framework of…
While researchers in the asset management industry have mostly focused on techniques based on financial and risk planning techniques like Markowitz efficient frontier, minimum variance, maximum diversification or equal risk parity, in…
Deep Reinforcement Learning approaches to Online Portfolio Selection have grown in popularity in recent years. The sensitive nature of training Reinforcement Learning agents implies a need for extensive efforts in market representation,…
This paper investigates the application of Deep Reinforcement Learning (DRL) for Environment, Social, and Governance (ESG) financial portfolio management, with a specific focus on the potential benefits of ESG score-based market regulation.…
Multi-task representation learning (MTRL) is an approach that learns shared latent representations across related tasks, facilitating collaborative learning that improves the overall learning efficiency. This paper studies MTRL for…
The problem of portfolio management represents an important and challenging class of dynamic decision making problems, where rebalancing decisions need to be made over time with the consideration of many factors such as investors…
This study presents a Reinforcement Learning (RL)-based portfolio management model tailored for high-risk environments, addressing the limitations of traditional RL models and exploiting market opportunities through two-sided transactions…
Propose a deep learning driven multi factor investment model optimization method for risk control. By constructing a deep learning model based on Long Short Term Memory (LSTM) and combining it with a multi factor investment model, we…
While deep reinforcement learning has achieved tremendous successes in various applications, most existing works only focus on maximizing the expected value of total return and thus ignore its inherent stochasticity. Such stochasticity is…