Portfolio dynamic trading strategies using deep reinforcement learning
學年 113
學期 1
出版（發表）日期 2024-08-29
作品名稱 Portfolio dynamic trading strategies using deep reinforcement learning
作品名稱（其他語言）
著者 Day, M. Y., Yang, C. Y., & Ni, Y.
單位
出版者
著錄名稱、卷期、頁數 Soft Computing, 28, 8715–8730
摘要 Using the constituent stocks of the iShares MSCI US ESG Select Index ETF, a matrix of technical indicators, returns, and covariance is incorporated to represent the inherent information characteristics of the stock market. In this study, based on the proposed Deep Reinforcement Learning for Portfolio Management on Environmental, Social, and Governance (DRLPMESG) architecture model, investors who use active portfolio management reap the greatest rewards, as the portfolio with 5 stocks performing the best, with an annualized return of 46.58%, a Sharpe ratio of 1.37, and a cumulative return of 115.18%, indicating that the results have the potential to win the market and generate excess profits. In contrast to the efficient market hypothesis, this new understanding of proven effectiveness in obtaining satisfactory rewards would help improve investment strategies for portfolio management. Furthermore, this study proposed that holding 5 stocks in a portfolio can lead to higher returns, laying the foundation for future research on the number of holdings. Moreover, when compared to previous static strategies, this model offering a dynamic strategy may generate a more stable return in the face of market fluctuations.
關鍵字 Artificial intelligence;Deep reinforcement learning;Financial technology;Portfolio management;Trading strategy
語言 en
ISSN 1433-7479; 1432-7643
期刊性質 國外
收錄於 SCI
產學合作
通訊作者
審稿制度 是
國別 DEU
公開徵稿
出版型式 ,電子版,紙本
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/125463 )