{"title":"利用深度强化学习开发用于动态投资组合风险管理的多代理自适应框架","authors":"Zhenglong Li, Vincent Tam, Kwan L. Yeung","doi":"arxiv-2402.00515","DOIUrl":null,"url":null,"abstract":"Deep or reinforcement learning (RL) approaches have been adapted as reactive\nagents to quickly learn and respond with new investment strategies for\nportfolio management under the highly turbulent financial market environments\nin recent years. In many cases, due to the very complex correlations among\nvarious financial sectors, and the fluctuating trends in different financial\nmarkets, a deep or reinforcement learning based agent can be biased in\nmaximising the total returns of the newly formulated investment portfolio while\nneglecting its potential risks under the turmoil of various market conditions\nin the global or regional sectors. Accordingly, a multi-agent and self-adaptive\nframework namely the MASA is proposed in which a sophisticated multi-agent\nreinforcement learning (RL) approach is adopted through two cooperating and\nreactive agents to carefully and dynamically balance the trade-off between the\noverall portfolio returns and their potential risks. Besides, a very flexible\nand proactive agent as the market observer is integrated into the MASA\nframework to provide some additional information on the estimated market trends\nas valuable feedbacks for multi-agent RL approach to quickly adapt to the\never-changing market conditions. The obtained empirical results clearly reveal\nthe potential strengths of our proposed MASA framework based on the multi-agent\nRL approach against many well-known RL-based approaches on the challenging data\nsets of the CSI 300, Dow Jones Industrial Average and S&P 500 indexes over the\npast 10 years. More importantly, our proposed MASA framework shed lights on\nmany possible directions for future investigation.","PeriodicalId":501045,"journal":{"name":"arXiv - QuantFin - Portfolio Management","volume":"8 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Developing A Multi-Agent and Self-Adaptive Framework with Deep Reinforcement Learning for Dynamic Portfolio Risk Management\",\"authors\":\"Zhenglong Li, Vincent Tam, Kwan L. Yeung\",\"doi\":\"arxiv-2402.00515\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Deep or reinforcement learning (RL) approaches have been adapted as reactive\\nagents to quickly learn and respond with new investment strategies for\\nportfolio management under the highly turbulent financial market environments\\nin recent years. In many cases, due to the very complex correlations among\\nvarious financial sectors, and the fluctuating trends in different financial\\nmarkets, a deep or reinforcement learning based agent can be biased in\\nmaximising the total returns of the newly formulated investment portfolio while\\nneglecting its potential risks under the turmoil of various market conditions\\nin the global or regional sectors. Accordingly, a multi-agent and self-adaptive\\nframework namely the MASA is proposed in which a sophisticated multi-agent\\nreinforcement learning (RL) approach is adopted through two cooperating and\\nreactive agents to carefully and dynamically balance the trade-off between the\\noverall portfolio returns and their potential risks. Besides, a very flexible\\nand proactive agent as the market observer is integrated into the MASA\\nframework to provide some additional information on the estimated market trends\\nas valuable feedbacks for multi-agent RL approach to quickly adapt to the\\never-changing market conditions. The obtained empirical results clearly reveal\\nthe potential strengths of our proposed MASA framework based on the multi-agent\\nRL approach against many well-known RL-based approaches on the challenging data\\nsets of the CSI 300, Dow Jones Industrial Average and S&P 500 indexes over the\\npast 10 years. More importantly, our proposed MASA framework shed lights on\\nmany possible directions for future investigation.\",\"PeriodicalId\":501045,\"journal\":{\"name\":\"arXiv - QuantFin - Portfolio Management\",\"volume\":\"8 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2024-02-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"arXiv - QuantFin - Portfolio Management\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/arxiv-2402.00515\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - QuantFin - Portfolio Management","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2402.00515","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
摘要
近年来,在高度动荡的金融市场环境下,深度学习或强化学习(RL)方法已被用作反应型代理,用于快速学习和响应新的投资策略,以进行投资组合管理。在许多情况下,由于不同金融行业之间存在非常复杂的相关性,而且不同金融市场的趋势也在不断波动,因此基于深度学习或强化学习的代理可能会在最大化新制定的投资组合的总回报方面存在偏差,同时忽略了其在全球或区域行业的各种市场动荡条件下的潜在风险。因此,我们提出了一个多代理自适应框架,即 MASA,其中采用了一种复杂的多代理强化学习(RL)方法,通过两个合作和反应型代理来谨慎、动态地平衡投资组合的总体收益和潜在风险之间的权衡。此外,MASA 框架还集成了一个非常灵活和积极主动的代理,作为市场观察者,为多代理强化学习方法提供一些有关估计市场趋势的额外信息,作为有价值的反馈,以快速适应不断变化的市场条件。所获得的实证结果清楚地揭示了我们所提出的基于多代理 RL 方法的 MASA 框架在过去 10 年中在沪深 300 指数、道琼斯工业平均指数和标准普尔 500 指数等具有挑战性的数据集上与许多著名的基于 RL 方法相比所具有的潜在优势。更重要的是,我们提出的 MASA 框架为未来的研究指明了许多可能的方向。
Developing A Multi-Agent and Self-Adaptive Framework with Deep Reinforcement Learning for Dynamic Portfolio Risk Management
Deep or reinforcement learning (RL) approaches have been adapted as reactive
agents to quickly learn and respond with new investment strategies for
portfolio management under the highly turbulent financial market environments
in recent years. In many cases, due to the very complex correlations among
various financial sectors, and the fluctuating trends in different financial
markets, a deep or reinforcement learning based agent can be biased in
maximising the total returns of the newly formulated investment portfolio while
neglecting its potential risks under the turmoil of various market conditions
in the global or regional sectors. Accordingly, a multi-agent and self-adaptive
framework namely the MASA is proposed in which a sophisticated multi-agent
reinforcement learning (RL) approach is adopted through two cooperating and
reactive agents to carefully and dynamically balance the trade-off between the
overall portfolio returns and their potential risks. Besides, a very flexible
and proactive agent as the market observer is integrated into the MASA
framework to provide some additional information on the estimated market trends
as valuable feedbacks for multi-agent RL approach to quickly adapt to the
ever-changing market conditions. The obtained empirical results clearly reveal
the potential strengths of our proposed MASA framework based on the multi-agent
RL approach against many well-known RL-based approaches on the challenging data
sets of the CSI 300, Dow Jones Industrial Average and S&P 500 indexes over the
past 10 years. More importantly, our proposed MASA framework shed lights on
many possible directions for future investigation.