Deep Reinforcement Learning for Stock Portfolio Optimization

@article{Hieu2020DeepRL,
  title={Deep Reinforcement Learning for Stock Portfolio Optimization},
  author={Le Trung Hieu},
  journal={ArXiv},
  year={2020},
  volume={abs/2012.06325}
}
  • L. T. Hieu
  • Published 1 October 2020
  • Computer Science
  • ArXiv
Stock portfolio optimization is the process of constant re-distribution of money to a pool of various stocks. In this paper, we will formulate the problem such that we can apply Reinforcement Learning for the task properly. To maintain a realistic assumption about the market, we will incorporate transaction cost and risk factor into the state as well. On top of that, we will apply various state-of-the-art Deep Reinforcement Learning algorithms for comparison. Since the action space is… 

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