Computational Finance

New submissions

• New submissions
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New submissions for Fri, 10 May 24

[1]  arXiv:2405.05449 [pdf, other]

Title: Markowitz Meets Bellman: Knowledge-distilled Reinforcement Learning for Portfolio Management

Authors: Gang Hu, Ming Gu

Subjects: Computational Finance (q-fin.CP); Machine Learning (cs.LG)

Investment portfolios, central to finance, balance potential returns and risks. This paper introduces a hybrid approach combining Markowitz's portfolio theory with reinforcement learning, utilizing knowledge distillation for training agents. In particular, our proposed method, called KDD (Knowledge Distillation DDPG), consist of two training stages: supervised and reinforcement learning stages. The trained agents optimize portfolio assembly. A comparative analysis against standard financial models and AI frameworks, using metrics like returns, the Sharpe ratio, and nine evaluation indices, reveals our model's superiority. It notably achieves the highest yield and Sharpe ratio of 2.03, ensuring top profitability with the lowest risk in comparable return scenarios.

Replacements for Fri, 10 May 24

[2]  arXiv:2404.02858 (replaced) [pdf, other]

Title: The Life Care Annuity: enhancing product features and refining pricing methods

Authors: G. Apicella, A. Molent, M. Gaudenzi

Subjects: Computational Finance (q-fin.CP)

• New submissions
• Replacements