Financial portfolio optimization: an autoregressive deep reinforcement learning algorithm with learned intrinsic rewards

• Main Author: Lim, Magdalene Hui Qi
• Other Authors: Patrick Pun Chi Seng
• Format: Final Year Project
• Language: English
• Published: Nanyang Technological University 2024
• Subjects: Mathematical Sciences; Reinforcement learning; Portfolio optimization; Optimal intrinsic rewards; Autoregressive deep reinforcement learning
• Online Access: https://hdl.handle.net/10356/175650
• Institution: Nanyang Technological University

Deep Reinforcement Learning (DRL) has had notable success in sequential learning tasks in applied settings involving high-dimensional state-action spaces, sparking the interest of the finance research community. DRL strategies have been applied to the classical portfolio optimization problem − a...