Journal
IEEE ACCESS
Volume 11, Issue -, Pages 28920-28933Publisher
IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC
DOI: 10.1109/ACCESS.2023.3259108
Keywords
Portfolios; Training; Optimization; Deep learning; Q-learning; Neural networks; Stock markets; Reinforcement learning; Deep reinforcement learning; algorithmic trading; actor-critic architecture; trading strategy
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This paper proposes an innovative algorithm to solve the optimal portfolio problem in stock market trading activities. The proposed model outperforms benchmark strategies by utilizing a mean-VaR portfolio optimization model based on the actor-critic architecture, implementing short selling through a linear transformation function, and using a multi-process method to accelerate deep reinforcement learning training.
It is difficult to automatically produce trading signals based on previous transaction data and the financial status of assets because of the significant noise and unpredictability of capital markets. This paper proposes an innovative algorithm to solve the optimal portfolio problem in stock market trading activities. Our novel portfolio trading strategy utilizes three features to outperform other benchmark strategies in a real-market environment. First, we propose a mean-VaR portfolio optimization model, the solution of which is based on the actor-critic architecture. Unlike the existing literature that learns the expectation of cumulative returns, the critic module learns the cumulative returns distribution by quantile regression, and the actor module outputs the optimal portfolio weight by maximizing the objective function of the optimization model. Secondly, we use a linear transformation function to realize short selling to ensure investors have profit opportunities in the bear market. Third, A multi-process method, called Ape-x, was used to accelerate the speed of deep reinforcement learning training. To validate our proposed approach, we conduct backtesting for two representative portfolios and observe that the proposed model in this work is superior to the benchmark strategies.
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