Portfolio constructions in cryptocurrency market: A CVaR-based deep reinforcement learning approach
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DOI: 10.1016/j.econmod.2022.106078
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- Aliu, Florin, 2024. "Do infectious diseases explain Bitcoin price Fluctuations?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 93(C).
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- Akhtaruzzaman, Md & Banerjee, Ameet Kumar & Boubaker, Sabri & Moussa, Faten, 2023.
"Does green improve portfolio optimisation?,"
Energy Economics, Elsevier, vol. 124(C).
- M. Akhtaruzzaman & A.K. Banerjee & S. Boubaker & F. Moussa, 2023. "Does Green Improve Portfolio Optimisation?," Post-Print hal-04435509, HAL.
- Tu, Xueyong & Li, Bin, 2024. "Robust portfolio selection with smart return prediction," Economic Modelling, Elsevier, vol. 135(C).
- Tan, Xilong & Tao, Yubo, 2023. "Trend-based forecast of cryptocurrency returns," Economic Modelling, Elsevier, vol. 124(C).
- Jiang, Yifu & Olmo, Jose & Atwi, Majed, 2024. "Deep reinforcement learning for portfolio selection," Global Finance Journal, Elsevier, vol. 62(C).
- Cui, Tianxiang & Du, Nanjiang & Yang, Xiaoying & Ding, Shusheng, 2024. "Multi-period portfolio optimization using a deep reinforcement learning hyper-heuristic approach," Technological Forecasting and Social Change, Elsevier, vol. 198(C).
- Conlon, Thomas & Corbet, Shaen & Hou, Yang (Greg) & Hu, Yang & Oxley, Les, 2024. "Bitcoin forks: What drives the branches?," Research in International Business and Finance, Elsevier, vol. 69(C).
- Ben Abdelaziz, Fouad & Chibane, Messaoud, 2023. "Portfolio optimization in the presence of tail correlation," Economic Modelling, Elsevier, vol. 122(C).
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More about this item
Keywords
Cryptocurrency market; Portfolio optimization; Efficient frontier; Reinforcement learning;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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