Deep Reinforcement Learning for Portfolio Allocation

Risk Magazine Global Quant Network 2021

26 Pages Posted: 12 Aug 2021

See all articles by Sandrine Ungari

Sandrine Ungari

Société Générale

Eric Benhamou

Université Paris Dauphine; AI For Alpha; EB AI Advisory; Université Paris-Dauphine, PSL Research University

Date Written: July 14, 2021

Abstract

In 2013, a paper by Google DeepMind kicked off an explosion in Deep Reinforcement Learning (DRL), for games. In this talk, we show that DRL can also be applied to portfolio allocation given various tricks and adaptation specific to non stationary data in finance. We present in particular how to Boost DRL.

Keywords: DRL, Boosting

JEL Classification: G11

Suggested Citation

Ungari, Sandrine and Benhamou, Eric, Deep Reinforcement Learning for Portfolio Allocation (July 14, 2021). Risk Magazine Global Quant Network 2021, Available at SSRN: https://ssrn.com/abstract=3886804

Sandrine Ungari

Société Générale ( email )

52 Place de l'Ellipse
La Défense, 92000
France

Eric Benhamou (Contact Author)

Université Paris Dauphine ( email )

Place du Maréchal de Tassigny
Paris, Cedex 16 75775
France

AI For Alpha ( email )

35 boulevard d'Inkermann
Neuilly sur Seine, 92200
France

EB AI Advisory ( email )

35 Boulevard d'Inkermann
Neuilly sur Seine, 92200
France

Université Paris-Dauphine, PSL Research University ( email )

Place du Maréchal de Lattre de Tassigny
Paris, 75016
France

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