Corpus ID: 237513857

WaveCorr: Correlation-savvy Deep Reinforcement Learning for Portfolio Management

@article{Marzban2021WaveCorrCD,
  title={WaveCorr: Correlation-savvy Deep Reinforcement Learning for Portfolio Management},
  author={Saeed Marzban and Erick Delage and Jonathan Yu-Meng Li and Jeremie Desgagne-Bouchard and Carl Dussault},
  journal={ArXiv},
  year={2021},
  volume={abs/2109.07005}
}
The problem of portfolio management represents an important and challenging class of dynamic decision making problems, where rebalancing decisions need to be made over time with the consideration of many factors such as investors’ preferences, trading environments, and market conditions. In this paper, we present a new portfolio policy network architecture for deep reinforcement learning (DRL) that can exploit more effectively cross-asset dependency information and achieve better performance… Expand

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