Cost-Sensitive Portfolio Selection via Deep Reinforcement Learning

• Published in: IEEE transactions on knowledge and data engineering Vol. 34; no. 1; pp. 236 - 248
• Main Authors: Zhang, Yifan, Zhao, Peilin, Wu, Qingyao, Li, Bin, Huang, Junzhou, Tan, Mingkui
• Format: Journal Article
• Language: English
• Published: New York IEEE 01.01.2022; The Institute of Electrical and Electronics Engineers, Inc. (IEEE)
• Subjects: Artificial intelligence; Correlation; Cost analysis; Costs; Decision making; Deep learning; Feature extraction; Investment; Learning (artificial intelligence); Optimization; Portfolio selection; Portfolios; Profitability; reinforcement learning; Representations; Risk management; Task analysis; transaction cost

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 ve...