Continuous control with Stacked Deep Dynamic Recurrent Reinforcement Learning for portfolio optimization.

Expert Systems with Applications(2020)

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摘要
•Incorporating portfolio constraints into recurrent reinforcement learning framework.•Reinforcement learning algorithm with continuous trading actions over multiple assets.•Simultaneous control of the portfolio constraints and policy network hyperparameters.•Hourglass shape network architectures emerge as a natural choice for asset management.
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关键词
Reinforcement learning,Policy gradient,Deep learning,Sequential model-based optimization,Financial time series,Portfolio management,Trading systems
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