Dynamic Portfolio Management with Views at Multiple Horizons

2015 ◽  
Author(s):  
Attilio Meucci ◽  
Marco Nicolosi
Keyword(s):  
Portfolio Management ◽  
Dynamic Portfolio

Dynamic Portfolio Management with Machine Learning

2021 ◽  
Author(s):  
XINYU HUANG ◽  
Massimo Guidolin ◽  
Emmanouil Platanakis ◽  
David Newton
Keyword(s):  
Machine Learning ◽  
Portfolio Management ◽  
Dynamic Portfolio

scholarly journals A deep Q-learning portfolio management framework for the cryptocurrency market

2020 ◽  
Vol 32 (23) ◽  
pp. 17229-17244
Author(s):  
Giorgio Lucarelli ◽  
Matteo Borrotti
Keyword(s):  
Portfolio Optimization ◽  
Portfolio Management ◽  
Dynamic Decision Making ◽  
Financial Assets ◽  
Management Framework ◽  
Q Learning ◽  
Reward Function ◽  
Dynamic Portfolio ◽  
Definition Of ◽  
Dynamic Portfolio Optimization

AbstractDeep reinforcement learning is gaining popularity in many different fields. An interesting sector is related to the definition of dynamic decision-making systems. A possible example is dynamic portfolio optimization, where an agent has to continuously reallocate an amount of fund into a number of different financial assets with the final goal of maximizing return and minimizing risk. In this work, a novel deep Q-learning portfolio management framework is proposed. The framework is composed by two elements: a set of local agents that learn assets behaviours and a global agent that describes the global reward function. The framework is tested on a crypto portfolio composed by four cryptocurrencies. Based on our results, the deep reinforcement portfolio management framework has proven to be a promising approach for dynamic portfolio optimization.

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