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The field of portfolio selection is an active research topic, which combines elements and methodologies from various fields, such as optimization, decision analysis, risk management, data science, forecasting, etc. The modeling and…

With the fast development of quantitative portfolio optimization in financial engineering, lots of AI-based algorithmic trading strategies have demonstrated promising results, among which reinforcement learning begins to manifest…

Trust Region Policy Optimization (TRPO) and Proximal Policy Optimization (PPO), as the widely employed policy based reinforcement learning (RL) methods, are prone to converge to a sub-optimal solution as they limit the policy representation…

Portfolio optimization (PO) is a core tool in financial and operational decision-making, typically balancing expected profit and risk. In real-world applications, particularly in the energy sector, decision variables can be expressed as…

We develop a portfolio allocation framework that leverages deep learning techniques to address challenges arising from high-dimensional, non-stationary, and low-signal-to-noise market information. Our approach includes a dynamic embedding…

This research systematically develops and evaluates various hybrid modeling approaches by combining traditional econometric models (ARIMA and ARFIMA models) with machine learning and deep learning techniques (SVM, XGBoost, and LSTM models)…

Robust optimization provides a principled framework for decision-making under uncertainty, with broad applications in finance, engineering, and operations research. In portfolio optimization, uncertainty in expected returns and covariances…

Problem definition: Supply chains are constantly evolving networks. Reinforcement learning is increasingly proposed as a solution to provide optimal control of these networks. Academic/practical: However, learning in continuously varying…

On-policy deep reinforcement learning algorithms have low data utilization and require significant experience for policy improvement. This paper proposes a proximal policy optimization algorithm with prioritized trajectory replay (PTR-PPO)…

We construct the maximally predictable portfolio (MPP) of stocks using machine learning. Solving for the optimal constrained weights in the multi-asset MPP gives portfolios with a high monthly coefficient of determination, given the sample…

State-of-the-art forecasting methods using Recurrent Neural Net- works (RNN) based on Long-Short Term Memory (LSTM) cells have shown exceptional performance targeting short-horizon forecasts, e.g given a set of predictor features, forecast…

This paper introduces a unified framework for adaptive portfolio management, integrating dynamic Black-Litterman (BL) optimization with the general factor model, Elastic Net regression, and mean-variance portfolio optimization, which allows…

In recent years, deep or reinforcement learning approaches have been applied to optimise investment portfolios through learning the spatial and temporal information under the dynamic financial market. Yet in most cases, the existing…

The application of deep learning models for stock price forecasting in emerging markets remains underexplored despite their potential to capture complex temporal dependencies. This study develops and evaluates a Long Short-Term Memory…

The need for an intelligent, real-time spoilage prediction system has become critical in modern IoT-driven food supply chains, where perishable goods are highly susceptible to environmental conditions. Existing methods often lack…

Motivated by the current global high inflation scenario, we aim to discover a dynamic multi-period allocation strategy to optimally outperform a passive benchmark while adhering to a bounded leverage limit. To this end, we formulate an…

This paper investigates the problem of ensembling multiple strategies for sequential portfolios to outperform individual strategies in terms of long-term wealth. Due to the uncertainty of strategies' performances in the future market, which…

Proximal Policy Optimization (PPO) has become the predominant algorithm for on-policy reinforcement learning due to its scalability and empirical robustness across domains. However, there is a significant disconnect between the underlying…

We evaluate benchmark deep reinforcement learning algorithms on the task of portfolio optimisation using simulated data. The simulator to generate the data is based on correlated geometric Brownian motion with the Bertsimas-Lo market impact…

In this research paper, we investigate into a paper named "A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem" [arXiv:1706.10059]. It is a portfolio management problem which is solved by deep learning…