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AlphaPortfolio Direct Construction Through Deep Reinforcement Learning and Interpretable AI PDF

70 Pages·2021·English
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by ['Carlo Metta']| 2021| 70 pages| English

About AlphaPortfolio Direct Construction Through Deep Reinforcement Learning and Interpretable AI

1. The document describes a new approach to portfolio management called AlphaPortfolio that uses deep reinforcement learning instead of conventional supervised learning methods. 2. AlphaPortfolio directly optimizes portfolio objectives through trial-and-error instead of first estimating return distributions or risk premia. It yields strong out-of-sample performance including a Sharpe ratio above 2. 3. The authors also introduce "economic distillation" techniques to help interpret the complex AI model, including polynomial-feature-sensitivity analysis and textual-factor analysis. This aids understanding of the model and key drivers of investment performance.

Detailed Information

Author:['Carlo Metta']
Publication Year:2021
Pages:70
Language:English
Format:PDF
Price:FREE
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