Dynamic graph reinforcement learning algorithm for portfolio management: A novel time–frequency correlated model-Reference-Cited by-同舟云学术

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Dynamic graph reinforcement learning algorithm for portfolio management: A novel time–frequency correlated model

Published:2024-05 Issue: Volume:63 Page:105373
ISSN:1544-6123
Container-title:Finance Research Letters
language:en
Short-container-title:Finance Research Letters

Author:

Ma Cong^ORCID,Nan Shijing

Funder

Northwest University

National Natural Science Foundation of China

Humanities and Social Science Fund of Ministry of Education of the People's Republic of China

Natural Science Basic Research Program of Shaanxi Province

Education Department of Shaanxi Provincial government

Shaanxi Province Natural Science Foundation

Publisher

Elsevier BV

Reference27 articles.

1. Time–frequency return co-movement among asset classes around the COVID-19 outbreak: Portfolio implications;Athari;J. Econ. Finance,2022

2. Naive diversification strategies in defined contribution saving plans;Benartzi;Am. Econ. Rev.,2001

3. Correlation risk and optimal portfolio choice;Buraschi;J. Finance,2010

4. Mean–variance portfolio selection with correlation risk;Chiu;J. Comput. Appl. Math.,2014

5. Long-term global market correlations;Goetzmann;J. Bus.,2005

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