Corpus ID: 53947946

Adversarial Deep Reinforcement Learning in Portfolio Management

  title={Adversarial Deep Reinforcement Learning in Portfolio Management},
  author={Zhipeng Liang and Kangkang Jiang and Hao Chen and Junhao Zhu and Yanran Li},
  journal={arXiv: Portfolio Management},
  • Zhipeng Liang, Kangkang Jiang, +2 authors Yanran Li
  • Published 2018
  • Economics
  • arXiv: Portfolio Management
  • In this paper, we implement three state-of-art continuous reinforcement learning algorithms, Deep Deterministic Policy Gradient (DDPG), Proximal Policy Optimization (PPO) and Policy Gradient (PG)in portfolio management. All of them are widely-used in game playing and robot control. What's more, PPO has appealing theoretical propeties which is hopefully potential in portfolio management. We present the performances of them under different settings, including different learning rates, objective… CONTINUE READING
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