Cost-Sensitive Portfolio Selection via Deep Reinforcement Learning

被引:49
|
作者
Zhang, Yifan [1 ,2 ]
Zhao, Peilin [3 ]
Wu, Qingyao [1 ,2 ]
Li, Bin [4 ]
Huang, Junzhou [3 ]
Tan, Mingkui [1 ,2 ]
机构
[1] South China Univ Technol, Guangzhou 510641, Peoples R China
[2] Guangzhou Lab, Guangzhou 510641, Peoples R China
[3] Tencent, AI Lab, Shenzhen 518057, Peoples R China
[4] Wuhan Univ, Wuhan 430072, Peoples R China
基金
中国国家自然科学基金;
关键词
Portfolio selection; reinforcement learning; deep learning; transaction cost;
D O I
10.1109/TKDE.2020.2979700
中图分类号
TP18 [人工智能理论];
学科分类号
081104 ; 0812 ; 0835 ; 1405 ;
摘要
Portfolio Selection is an important real-world financial task and has attracted extensive attention in artificial intelligence communities. This task, however, has two main difficulties: (i) the non-stationary price series and complex asset correlations make the learning of feature representation very hard; (ii) the practicality principle in financial markets requires controlling both transaction and risk costs. Most existing methods adopt handcraft features and/or consider no constraints for the costs, which may make them perform unsatisfactorily and fail to control both costs in practice. In this paper, we propose a cost-sensitive portfolio selection method with deep reinforcement learning. Specifically, a novel two-stream portfolio policy network is devised to extract both price series patterns and asset correlations, while a new cost-sensitive reward function is developed to maximize the accumulated return and constrain both costs via reinforcement learning. We theoretically analyze the near-optimality of the proposed reward, which shows that the growth rate of the policy regarding this reward function can approach the theoretical optimum. We also empirically evaluate the proposed method on real-world datasets. Promising results demonstrate the effectiveness and superiority of the proposed method in terms of profitability, cost-sensitivity and representation abilities.
引用
收藏
页码:236 / 248
页数:13
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