基于价值分配强化学习算法的投资组合管理
Yan Yang1, Tian Wang1, Yiding Fu1
1Strategic Development Department Southern Power Grid Capital Holding Co., Ltd., Guangzhou, China.
Frontiers in artificial intelligence
|February 16, 2026
概括
本研究引入了一个新的强化学习算法用于投资组合管理,提高回报率和控制风险. 这种新的方法在真实世界的市场数据中显著优于传统策略.
科学领域:
- 量化金融 量化金融
- 机器学习 机器学习
- 计算经济学的计算经济学
背景情况:
- 金融市场存在巨大的不确定性和复杂性.
- 在管理风险的同时最大限度地提高投资组合回报是一个持续的挑战.
研究的目的:
- 通过强化学习引入一种新的投资组合管理框架.
- 提高投资组合回报率和改善风险控制.
主要方法:
- 建议使用一个价值分布最大演员-关键 (VD-MEAC) 强化学习算法.
- 该框架使用投资组合权重调整作为行动,股票因素作为状态观察.
- 风险管理是通过学习未来回报的完整分布来解决的,调整用于回报增强.
主要成果:
- 实验使用来自中国股票市场的真实市场数据进行.
- 该VD-MEAC战略实现了2.490的平均回报率和2.978.8的夏普比率.
- 业绩明显超过了基准策略.
结论:
- 拟议的VD-MEAC方法对于实际的投资组合管理是有效的.
- 结果验证了算法的能力在复杂的金融市场.
相关概念视频
Decision Making: P-value Method
7.0K
The process of hypothesis testing based on the P-value method includes calculating the P- value using the sample data and interpreting it.
First, a specific claim about the population parameter is proposed. The claim is based on the research question and is stated in a simple form. Further, an opposing statement to the claim is also stated. These statements can act as null and alternative hypotheses: a null hypothesis would be a neutral statement while the alternative hypothesis can...
First, a specific claim about the population parameter is proposed. The claim is based on the research question and is stated in a simple form. Further, an opposing statement to the claim is also stated. These statements can act as null and alternative hypotheses: a null hypothesis would be a neutral statement while the alternative hypothesis can...
7.0K
Reinforcement
969
Positive and negative reinforcement are key concepts in operant conditioning, a learning process where the consequences of a behavior affect the likelihood of that behavior being repeated.
Positive reinforcement occurs when a behavior is followed by the presentation of a rewarding stimulus, increasing the frequency of that behavior. For example:
Positive reinforcement occurs when a behavior is followed by the presentation of a rewarding stimulus, increasing the frequency of that behavior. For example:
969
Reinforcement Schedules
538
Positive reinforcement is a powerful method for teaching new behaviors to both animals and humans. B.F. Skinner demonstrated this with his experiments using rats in a Skinner box. When a rat pressed a lever, it received a food pellet. This immediate reward encouraged the rat to repeat the behavior. This method, where a reward follows every instance of the behavior, is known as continuous reinforcement. It is highly effective for establishing new behaviors quickly.
Once a behavior is learned,...
Once a behavior is learned,...
538
Distribution Reliability and Automation
521
Distribution reliability in electrical power systems is critical for ensuring an uninterrupted power supply to consumers at minimal cost. According to IEEE Standard Terms, reliability is the probability that a device will function without failure over a specified time period or amount of usage. For electric power distribution, this translates to maintaining continuous power supply and addressing customer concerns over power outages. Several indices, as defined by IEEE Standard 1366-2012, are...
521
Probability Distributions
12.2K
The probability of a random variable x is the likelihood of its occurrence. A probability distribution represents the probabilities of a random variable using a formula, graph, or table. There are two types of probability distribution– discrete probability distribution and continuous probability distribution.
A discrete probability distribution is a probability distribution of discrete random variables. It can be categorized into binomial probability distribution and Poisson...
A discrete probability distribution is a probability distribution of discrete random variables. It can be categorized into binomial probability distribution and Poisson...
12.2K
Observational Learning
1.0K
Albert Bandura's observational learning, also known as imitation or modeling, occurs when a person observes and imitates another's behavior. It is a quicker process than operant conditioning. A well-known example is the Bobo doll study, where children who saw an adult acting aggressively towards the doll were more likely to act aggressively when left alone, compared to those who observed a nonaggressive adult. Many psychologists view observational learning as a form of latent learning...
1.0K
