Twin-system recurrent reinforcement learning for optimizing portfolio strategy

Author:

Park HyungjunORCID,Sim Min KyuORCID,Choi Dong GuORCID

Funder

National Research Foundation of Korea

Ministry of Science, ICT and Future Planning

Publisher

Elsevier BV

Reference39 articles.

1. An adaptive portfolio trading system: A risk-return portfolio optimization using recurrent reinforcement learning with expected maximum drawdown;Almahdi;Expert Systems with Applications,2017

2. A constrained portfolio trading system using particle swarm algorithm and recurrent reinforcement learning;Almahdi;Expert Systems with Applications,2019

3. The mean–variance cardinality constrained portfolio optimization problem: An experimental evaluation of five multiobjective evolutionary algorithms;Anagnostopoulos;Expert Systems with Applications,2011

4. Bhatia, A., Varakantham, P., & Kumar, A. (2019). Resource Constrained Deep Reinforcement Learning. 29, In Proceedings of the international conference on automated planning and scheduling, vol. 29 (pp. 610–620).

5. Heuristics for cardinality constrained portfolio optimisation;Chang;Computers & Operations Research,2000

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