Detailed Information

Cited 0 time in webofscience Cited 0 time in scopus
Metadata Downloads

액터-크리틱 모형기반 포트폴리오 연구A Study on the Portfolio Performance Evaluation using Actor-Critic Reinforcement Learning Algorithms

Other Titles
A Study on the Portfolio Performance Evaluation using Actor-Critic Reinforcement Learning Algorithms
Authors
이우식
Issue Date
Jun-2022
Publisher
한국산업융합학회
Keywords
Quantitative Finance; Business Analytics; FinTech; Autonomous Portfolio; Optimization
Citation
한국산업융합학회논문집, v.25, no.3, pp 467 - 476
Pages
10
Indexed
KCI
Journal Title
한국산업융합학회논문집
Volume
25
Number
3
Start Page
467
End Page
476
URI
https://scholarworks.gnu.ac.kr/handle/sw.gnu/2179
ISSN
1226-833x
2765-5415
Abstract
The Bank of Korea raised the benchmark interest rate by a quarter percentage point to 1.75 percent per year, and analysts predict that South Korea's policy rate will reach 2.00 percent by the end of calendar year 2022. Furthermore, because market volatility has been significantly increased by a variety of factors, including rising rates, inflation, and market volatility, many investors have struggled to meet their financial objectives or deliver returns. Banks and financial institutions are attempting to provide Robo-Advisors to manage client portfolios without human intervention in this situation. In this regard, determining the best hyper-parameter combination is becoming increasingly important. This study compares some activation functions of the Deep Deterministic Policy Gradient(DDPG) and Twin-delayed Deep Deterministic Policy Gradient (TD3) Algorithms to choose a sequence of actions that maximizes long-term reward. The DDPG and TD3 outperformed its benchmark index, according to the results. One reason for this is that we need to understand the action probabilities in order to choose an action and receive a reward, which we then compare to the state value to determine an advantage. As interest in machine learning has grown and research into deep reinforcement learning has become more active, finding an optimal hyper-parameter combination for DDPG and TD3 has become increasingly important.
Files in This Item
There are no files associated with this item.
Appears in
Collections
College of Business Administration > 스마트유통물류학과 > Journal Articles

qrcode

Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.

Related Researcher

Researcher Lee, Woo Sik photo

Lee, Woo Sik
경영대학 (스마트유통물류학과)
Read more

Altmetrics

Total Views & Downloads

BROWSE