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Portfolio Management using Deep Reinforcement Learning

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  • Ashish Anil Pawar
  • Vishnureddy Prashant Muskawar
  • Ritesh Tiku

Abstract

Algorithmic trading or Financial robots have been conquering the stock markets with their ability to fathom complex statistical trading strategies. But with the recent development of deep learning technologies, these strategies are becoming impotent. The DQN and A2C models have previously outperformed eminent humans in game-playing and robotics. In our work, we propose a reinforced portfolio manager offering assistance in the allocation of weights to assets. The environment proffers the manager the freedom to go long and even short on the assets. The weight allocation advisements are restricted to the choice of portfolio assets and tested empirically to knock benchmark indices. The manager performs financial transactions in a postulated liquid market without any transaction charges. This work provides the conclusion that the proposed portfolio manager with actions centered on weight allocations can surpass the risk-adjusted returns of conventional portfolio managers.

Suggested Citation

  • Ashish Anil Pawar & Vishnureddy Prashant Muskawar & Ritesh Tiku, 2024. "Portfolio Management using Deep Reinforcement Learning," Papers 2405.01604, arXiv.org.
    • Handle: RePEc:arx:papers:2405.01604
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    References listed on IDEAS

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    1. Zhengyao Jiang & Dixing Xu & Jinjun Liang, 2017. "A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem," Papers 1706.10059, arXiv.org, revised Jul 2017.
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