深度Q学习用于多资产投资组合交易

# An intelligent financial portfolio trading strategy using deep Q-learning


# An intelligent financial portfolio trading strategy using deep Q-learning









Portfolio traders strive to identify dynamic portfolio allocation schemes so that their total budgets are efficiently allocated through the investment horizon. This study proposes a novel portfolio trading strategy in which an intelligent agent is trained to identify an optimal trading action by using deep Q-learning. We formulate a Markov decision process model for the portfolio trading process, and the model adopts a discrete combinatorial action space, determining the trading direction at prespecified trading size for each asset, to ensure practical applicability. Our novel portfolio trading strategy takes advantage of three features to outperform in real-world trading. First, a mapping function is devised to handle and transform an initially found but infeasible action into a feasible action closest to the originally proposed ideal action. Second, by overcoming the dimensionality problem, this study establishes models of agent and Q-network for deriving a multi-asset trading strategy in the predefined action space. Last, this study introduces a technique that has the advantage of deriving a well-fitted multi-asset trading strategy by designing an agent to simulate all feasible actions in each state. To validate our approach, we conduct backtests for two representative portfolios and demonstrate superior results over the benchmark strategies.