Integration of investor behavioral perspective and climate change in reinforcement learning for portfolio optimization

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance Pub Date : 2024-10-28 DOI:10.1016/j.ribaf.2024.102639

Youssef Bouyaddou, Ikram Jebabli

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引用次数: 0

Abstract

Addressing environmental impact is increasingly imperative for individual investors and large financial institutions, making it a key objective of socially responsible investing. However, there is a noticeable gap in research on integrating sustainability and low-carbon considerations into machine learning-based portfolio optimization. To meet this challenge, this study introduces a Portfolio Emissions Sentiment Attention Aware Reinforcement Learning (PESAARL) model based on the Proximal Policy Optimization (PPO) algorithm to optimize a portfolio of Dow Jones Industrial Average (DJIA) stocks. PESAARL uniquely integrates environmental impact considerations, specifically carbon footprint using the firm level scope 1 and scope 2 emissions data, alongside firm-level investor sentiment and attention, into the investment decision-making process. Through multiple experiments, PESAARL demonstrates significant advantages, in terms of financial and environmental performance, over the benchmarks.

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将投资者行为视角和气候变化纳入强化学习，优化投资组合

对于个人投资者和大型金融机构来说，解决环境影响问题日益重要，这也是社会责任投资的一个关键目标。然而，在将可持续发展和低碳因素纳入基于机器学习的投资组合优化方面，还存在明显的研究空白。为了应对这一挑战，本研究引入了基于近端策略优化（PPO）算法的投资组合排放情绪注意强化学习（PESAARL）模型，以优化道琼斯工业平均指数（DJIA）股票的投资组合。PESAARL 独创性地将环境影响因素（特别是使用公司级范围 1 和范围 2 排放数据的碳足迹）与公司级投资者情绪和关注度整合到投资决策过程中。通过多次实验，PESAARL 在财务和环境绩效方面都比基准股票有显著优势。

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来源期刊

Research in International Business and Finance BUSINESS, FINANCE-

CiteScore

11.20

自引率

9.20%

发文量

240

期刊介绍： Research in International Business and Finance (RIBAF) seeks to consolidate its position as a premier scholarly vehicle of academic finance. The Journal publishes high quality, insightful, well-written papers that explore current and new issues in international finance. Papers that foster dialogue, innovation, and intellectual risk-taking in financial studies; as well as shed light on the interaction between finance and broader societal concerns are particularly appreciated. The Journal welcomes submissions that seek to expand the boundaries of academic finance and otherwise challenge the discipline. Papers studying finance using a variety of methodologies; as well as interdisciplinary studies will be considered for publication. Papers that examine topical issues using extensive international data sets are welcome. Single-country studies can also be considered for publication provided that they develop novel methodological and theoretical approaches or fall within the Journal''s priority themes. It is especially important that single-country studies communicate to the reader why the particular chosen country is especially relevant to the issue being investigated. [...] The scope of topics that are most interesting to RIBAF readers include the following: -Financial markets and institutions -Financial practices and sustainability -The impact of national culture on finance -The impact of formal and informal institutions on finance -Privatizations, public financing, and nonprofit issues in finance -Interdisciplinary financial studies -Finance and international development -International financial crises and regulation -Financialization studies -International financial integration and architecture -Behavioral aspects in finance -Consumer finance -Methodologies and conceptualization issues related to finance