Cost-Sensitive Portfolio Selection via Deep Reinforcement Learning

6 Mar 2020Yifan ZhangPeilin ZhaoQingyao WuBin LiJunzhou HuangMingkui Tan

Portfolio Selection is an important real-world financial task and has attracted extensive attention in artificial intelligence communities. This task, however, has two main difficulties: (i) the non-stationary price series and complex asset correlations make the learning of feature representation very hard; (ii) the practicality principle in financial markets requires controlling both transaction and risk costs... (read more)

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