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

Zhenglong Li, Vincent Tam, Kwan L. Yeung
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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。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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.
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