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Deep Reinforcement Learning 1 Hierarchical Equal Risk Contribution 1 Hierarchical Risk Parity 1 Learning process 1 Lernprozess 1 Portfolio selection 1 Portfolio-Management 1 Risiko 1 Risk 1 Theorie 1 Theory 1 cryptocurrencies 1 foreign exchange 1 portfolio optimization 1 stocks 1
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1
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Edalat, Abbas 1 Millea, Adrian 1
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International Journal of Financial Studies : open access journal 1
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ECONIS (ZBW) 1
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Using deep reinforcement learning with hierarchical risk parity for portfolio optimization
Millea, Adrian; Edalat, Abbas - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-16
We devise a hierarchical decision-making architecture for We devise a hierarchical decision-making architecture for portfolio optimization on multiple markets. At the highest level a Deep Reinforcement Learning (DRL) agent selects among a number of discrete actions, representing low-level...
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