Using Deep Reinforcement Learning with Hierarchical Risk Parity for Portfolio Optimization

被引:3
|
作者
Millea, Adrian [1 ]
Edalat, Abbas [1 ]
机构
[1] Imperial Coll London, Fac Engn, Dept Comp, London SW7 2AZ, England
来源
基金
英国工程与自然科学研究理事会;
关键词
Deep Reinforcement Learning; Hierarchical Risk Parity; Hierarchical Equal Risk Contribution; portfolio optimization; cryptocurrencies; stocks; foreign exchange;
D O I
10.3390/ijfs11010010
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We devise a hierarchical decision-making architecture for portfolio optimization on multiple markets. At the highest level a Deep Reinforcement Learning (DRL) agent selects among a number of discrete actions, representing low-level agents. For the low-level agents, we use a set of Hierarchical Risk Parity (HRP) and Hierarchical Equal Risk Contribution (HERC) models with different hyperparameters, which all run in parallel, off-market (in a simulation). The information on which the DRL agent decides which of the low-level agents should act next is constituted by the stacking of the recent performances of all agents. Thus, the modelling resembles a statefull, non-stationary, multi-arm bandit, where the performance of the individual arms changes with time and is assumed to be dependent on the recent history. We perform experiments on the cryptocurrency market (117 assets), on the stock market (46 assets) and on the foreign exchange market (28 pairs) showing the excellent robustness and performance of the overall system. Moreover, we eliminate the need for retraining and are able to deal with large testing sets successfully.
引用
收藏
页数:16
相关论文
共 50 条
  • [1] Reinforcement learning for deep portfolio optimization
    Yan, Ruyu
    Jin, Jiafei
    Han, Kun
    ELECTRONIC RESEARCH ARCHIVE, 2024, 32 (09): : 5176 - 5200
  • [2] An analysis of machine learning risk factors and risk parity portfolio optimization
    Wu, Liyun
    Ahmadid, Muneeb
    Qureshi, Salman Ali
    Razaid, Kashif
    Khan, Yousaf Ali
    PLOS ONE, 2022, 17 (09):
  • [3] Risk-averse Reinforcement Learning for Portfolio Optimization
    Enkhsaikhan, Bayaraa
    Jo, Ohyun
    ICT EXPRESS, 2024, 10 (04): : 857 - 862
  • [4] Deep reinforcement learning for stock portfolio optimization by connecting with modern portfolio theory
    Jang, Junkyu
    Seong, NohYoon
    EXPERT SYSTEMS WITH APPLICATIONS, 2023, 218
  • [5] Ensemble Strategy Based on Deep Reinforcement Learning for Portfolio Optimization
    Su, Xiao
    Zhou, Yalan
    He, Shanshan
    Li, Xiangxia
    KNOWLEDGE SCIENCE, ENGINEERING AND MANAGEMENT, PT IV, KSEM 2023, 2023, 14120 : 242 - 249
  • [6] Hierarchical Deep Reinforcement Learning for VWAP Strategy Optimization
    Li, Xiaodong
    Wu, Pangjing
    Zou, Chenxin
    Li, Qing
    IEEE TRANSACTIONS ON BIG DATA, 2024, 10 (03) : 288 - 300
  • [7] Portfolio optimization using deep learning with risk aversion utility function
    Kubo, Kenji
    Nakagawa, Kei
    FINANCE RESEARCH LETTERS, 2025, 74
  • [8] A Novel Anti-Risk Method for Portfolio Trading Using Deep Reinforcement Learning
    Yue, Han
    Liu, Jiapeng
    Tian, Dongmei
    Zhang, Qin
    ELECTRONICS, 2022, 11 (09)
  • [9] Asymmetric Graph-Based Deep Reinforcement Learning for Portfolio Optimization
    Sun, Haoyu
    Liu, Xin
    Bian, Yuxuan
    Zhu, Peng
    Cheng, Dawei
    Liang, Yuqi
    MACHINE LEARNING AND KNOWLEDGE DISCOVERY IN DATABASES-APPLIED DATA SCIENCE TRACK, PT IX, ECML PKDD 2024, 2024, 14949 : 174 - 189
  • [10] Deep reinforcement learning for portfolio management
    Yang, Shantian
    KNOWLEDGE-BASED SYSTEMS, 2023, 278