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

• 主要作者: Lim, Magdalene Hui Qi
• 其他作者: Patrick Pun Chi Seng
• 格式: Final Year Project
• 語言: English
• 出版: Nanyang Technological University 2024
• 主題: Mathematical Sciences; Reinforcement learning; Portfolio optimization; Optimal intrinsic rewards; Autoregressive deep reinforcement learning
• 在線閱讀: https://hdl.handle.net/10356/175650

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...