Deep Reinforcement Learning for Portfolio Allocation
Risk Magazine Global Quant Network 2021
26 Pages Posted: 12 Aug 2021
Date Written: July 14, 2021
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
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