A Selective Portfolio Management Algorithm with Off-Policy Reinforcement Learning Using Dirichlet Distribution

Existing methods in portfolio management deterministically produce an optimal portfolio. However, according to modern portfolio theory, there exists a trade-off between a portfolio’s expected returns and risks. Therefore, the optimal portfolio does not exist definitively, but several exist, and usin...

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Hlavní autoři:	Hyunjun Yang, Hyeonjun Park, Kyungjae Lee
Médium:	Artigo
Jazyk:	Inglês
Vydáno:	MDPI AG 2022-11-01
Edice:	Axioms
Témata:	deep reinforcement learning exploration methods portfolio optimization
On-line přístup:	https://www.mdpi.com/2075-1680/11/12/664
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