深度强化学习代理的可解释临时投资组合管理财务政策

Alejandra de la Rica Escudero, Eduardo C. Garrido-Merchan, Maria Coronado-Vaca
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引用次数: 0

摘要

通过马科维茨模型等现代投资组合理论技术定量计算出的金融投资组合管理投资政策依赖于一系列假设,而这些假设在高波动性市场中得不到数据支持。因此,定量研究人员正在寻找替代模型来解决这一问题。具体来说,深度强化学习(DRL)方法最近成功地解决了投资组合管理问题。具体来说,DRL 算法通过估计代理在模拟器中的任何金融状态下执行的每项操作的预期奖励分布来训练代理。然而,这些方法依赖于深度神经网络模型来表示这种分布,虽然它们是通用的近似模型,但却无法解释其行为,因为这些参数集合无法解释。至关重要的是,金融投资者的政策要求预测结果具有可解释性,因此 DRL 代理不适合遵循特定政策或解释其行为。在这项工作中,我们为投资组合管理开发了一种新颖的可解释深度强化学习(XDRL)方法,将近端策略优化(PPO)与特征重要性、SHAP 和 LIME 等模型无关的可解释技术相结合,以提高预测时间的透明度。通过执行我们的方法,我们可以在预测时间内解释代理的行动,以评估它们是否遵循了投资政策的要求,或评估遵循代理建议的风险。据我们所知,我们提出的方法是第一个可以解释 DRL 代理的事后投资组合管理财务政策的方法。我们通过成功识别影响投资决策的关键特征来实证说明我们的方法,这证明了在预测时间内解释代理行为的能力。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Explainable Post hoc Portfolio Management Financial Policy of a Deep Reinforcement Learning agent
Financial portfolio management investment policies computed quantitatively by modern portfolio theory techniques like the Markowitz model rely on a set on assumptions that are not supported by data in high volatility markets. Hence, quantitative researchers are looking for alternative models to tackle this problem. Concretely, portfolio management is a problem that has been successfully addressed recently by Deep Reinforcement Learning (DRL) approaches. In particular, DRL algorithms train an agent by estimating the distribution of the expected reward of every action performed by an agent given any financial state in a simulator. However, these methods rely on Deep Neural Networks model to represent such a distribution, that although they are universal approximator models, they cannot explain its behaviour, given by a set of parameters that are not interpretable. Critically, financial investors policies require predictions to be interpretable, so DRL agents are not suited to follow a particular policy or explain their actions. In this work, we developed a novel Explainable Deep Reinforcement Learning (XDRL) approach for portfolio management, integrating the Proximal Policy Optimization (PPO) with the model agnostic explainable techniques of feature importance, SHAP and LIME to enhance transparency in prediction time. By executing our methodology, we can interpret in prediction time the actions of the agent to assess whether they follow the requisites of an investment policy or to assess the risk of following the agent suggestions. To the best of our knowledge, our proposed approach is the first explainable post hoc portfolio management financial policy of a DRL agent. We empirically illustrate our methodology by successfully identifying key features influencing investment decisions, which demonstrate the ability to explain the agent actions in prediction time.
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