What is the value of the cross-sectional approach to deep reinforcement learning?

DOI10.1080/14697688.2021.2001032zbMath1491.91113OpenAlexW4226208821MaRDI QIDQ5079398

Amine Mohamed Aboussalah, Ziyun Xu, Chi-Guhn Lee

Publication date: 27 May 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2021.2001032

zbMATH Keywords

portfolio optimizationreinforcement learningoptimal policiescross-sectional analysiscomputational financeconvolutional neural networksdeep learningportfolio allocation

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Portfolio theory (91G10)

Related Items (2)

Optimal characteristic portfolios ⋮ Recent advances in reinforcement learning in finance

Uses Software

• SMAC

Cites Work

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• NONPARAMETRIC KERNEL‐BASED SEQUENTIAL INVESTMENT STRATEGIES

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