Deep Reinforcement Learning (DRL) for Portfolio Allocation
Abstract
Deep reinforcement learning (DRL) has reached an unprecedent level on complex tasks like game solving (Go [ 6 ], StarCraft II [ 7 ]), and autonomous driving. However, applications to real financial assets are still largely unexplored and it remains an open question whether DRL can reach super human level. In this demo, we showcase state-of-the-art DRL methods for selecting portfolios according to financial environment, with a final network concatenating three individual networks using layers of convolutions to reduce network’s complexity. The multi entries of our network enables capturing dependencies from common financial indicators features like risk aversion, citigroup index surprise, portfolio specific features and previous portfolio allocations. Results on test set show this approach can overperform traditional portfolio optimization methods with results available at our demo website .
Cite
Text
Benhamou et al. "Deep Reinforcement Learning (DRL) for Portfolio Allocation." European Conference on Machine Learning and Principles and Practice of Knowledge Discovery in Databases, 2020. doi:10.1007/978-3-030-67670-4_32Markdown
[Benhamou et al. "Deep Reinforcement Learning (DRL) for Portfolio Allocation." European Conference on Machine Learning and Principles and Practice of Knowledge Discovery in Databases, 2020.](https://mlanthology.org/ecmlpkdd/2020/benhamou2020ecmlpkdd-deep/) doi:10.1007/978-3-030-67670-4_32BibTeX
@inproceedings{benhamou2020ecmlpkdd-deep,
title = {{Deep Reinforcement Learning (DRL) for Portfolio Allocation}},
author = {Benhamou, Eric and Saltiel, David and Ohana, Jean-Jacques and Atif, Jamal and Laraki, Rida},
booktitle = {European Conference on Machine Learning and Principles and Practice of Knowledge Discovery in Databases},
year = {2020},
pages = {527-531},
doi = {10.1007/978-3-030-67670-4_32},
url = {https://mlanthology.org/ecmlpkdd/2020/benhamou2020ecmlpkdd-deep/}
}