Independent factor reinforcement learning for portfolio management

被引：0
|
作者：
Li, Jian [1 ]
Zhang, Kun [1 ]
Chan, Laiwan [1 ]
机构：
[1] Chinese Univ Hong Kong, Dept Comp Sci & Engn, Shatin, Hong Kong, Peoples R China
来源：
INTELLIGENT DATA ENGINEERING AND AUTOMATED LEARNING - IDEAL 2007 | 2007年 / 4881卷
关键词：
D O I：
暂无
中图分类号：
TP3 [计算技术、计算机技术];
学科分类号：
0812 ;
摘要：
In this paper we propose to do portfolio management using reinforcement learning (RL) and independent factor model. Factors in independent factor model are mutually independent and exhibit better predictability. RL is applied to each factor to capture temporal dependence and provide investment suggestion on factor. Optimal weights on factors are found by portfolio optimization method subject to the investment suggestions and general portfolio constraints. Experimental results and analysis are given to show that the proposed method has better performance when compare to two alternative portfolio management systems.
引用
收藏
页码：1020 / 1031
页数：12
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