英文标题：
《Large scale continuous-time mean-variance portfolio allocation via
  reinforcement learning》
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作者：
Haoran Wang
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最新提交年份：
2019
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英文摘要：
  We propose to solve large scale Markowitz mean-variance (MV) portfolio allocation problem using reinforcement learning (RL). By adopting the recently developed continuous-time exploratory control framework, we formulate the exploratory MV problem in high dimensions. We further show the optimality of a multivariate Gaussian feedback policy, with time-decaying variance, in trading off exploration and exploitation. Based on a provable policy improvement theorem, we devise a scalable and data-efficient RL algorithm and conduct large scale empirical tests using data from the S&P 500 stocks. We found that our method consistently achieves over 10% annualized returns and it outperforms econometric methods and the deep RL method by large margins, for both long and medium terms of investment with monthly and daily trading.
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中文摘要：
我们建议使用强化学习（RL）来解决大规模Markowitz均值-方差（MV）投资组合分配问题。通过采用最近开发的连续时间探索性控制框架，我们在高维上描述了探索性MV问题。我们进一步证明了方差随时间衰减的多元高斯反馈策略在权衡勘探和开发时的最优性。基于一个可证明的政策改进定理，我们设计了一个可扩展且数据高效的RL算法，并使用标准普尔500指数股票的数据进行了大规模的实证检验。我们发现，我们的方法始终实现超过10%的年化回报，无论是长期还是中期投资，无论是月度还是每日交易，它都大大优于计量经济学方法和深度RL方法。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Computer Science        计算机科学
二级分类：Machine Learning        机器学习
分类描述：Papers on all aspects of machine learning research (supervised, unsupervised, reinforcement learning, bandit problems, and so on) including also robustness, explanation, fairness, and methodology. cs.LG is also an appropriate primary category for applications of machine learning methods.
关于机器学习研究的所有方面的论文（有监督的，无监督的，强化学习，强盗问题，等等），包括健壮性，解释性，公平性和方法论。对于机器学习方法的应用，CS.LG也是一个合适的主要类别。
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一级分类：Mathematics        数学
二级分类：Optimization and Control        优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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