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Performance functions and reinforcement learning for trading systems and portfolios
10 references·16 citing·35 second hop
Performance functions and reinforcement learning for trading systems and portfolios (1998)Performance functions and reinforcement l…Predictability of Stock Returns: Robustness and Economic Significance (1995)Predictability of Stock Retur…The Sharpe Ratio (1994)The Sharpe RatioDownside risk (1991)Downside riskCombining forecasts: A review and annotated bibliography (1989)Combining forecasts: A review…Forecasting Economic Time Series (1986)Forecasting Economic Time Ser…The Combination of Forecasts (1983)The Combination of ForecastsHow to Use Security Analysis to Improve Portfolio Selection (1973)How to Use Security Analysis …Mutual Fund Performance (1966)Mutual Fund PerformancePortfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Exposition of a New Theory on the Measurement of Risk (1954)Exposition of a New Theory on…Recent advances in reinforcement learning in finance (2023)Recent advances in reinforcem…DeepTrader: A Deep Reinforcement Learning Approach for Risk-Return Balanced Portfolio Management with Market Conditions Embedding (2021)DeepTrader: A Deep Reinforcem…Multi-DQN: An ensemble of Deep Q-learning agents for stock market forecasting (2020)Multi-DQN: An ensemble of Dee…Financial portfolio optimization with online deep reinforcement learning and restricted stacked autoencoder—DeepBreath (2020)Financial portfolio optimizat…Deep Reinforcement Learning for Trading (2020)Deep Reinforcement Learning f…Deep Learning for Portfolio Optimization (2020)Deep Learning for Portfolio O…Continuous‐time mean–variance portfolio selection: A reinforcement learning framework (2020)Continuous‐time mean–variance…A multi-layer and multi-ensemble stock trader using deep learning and deep reinforcement learning (2020)A multi-layer and multi-ensem…Reinforcement Learning in Financial Markets (2019)Reinforcement Learning in Fin…AlphaStock (2019)AlphaStockAn adaptive portfolio trading system: A risk-return portfolio optimization using recurrent reinforcement learning with expected maximum drawdown (2017)An adaptive portfolio trading…Online portfolio selection (2014)Online portfolio selectionPAMR: Passive aggressive mean reversion strategy for portfolio selection (2012)PAMR: Passive aggressive mean…CORN (2011)CORNStock Trading Using RSPOP: A Novel Rough Set-Based Neuro-Fuzzy Approach (2006)Stock Trading Using RSPOP: A …Computational learning techniques for intraday FX trading using popular technical indicators (2001)Computational learning techni…Expert judgment: Some necessary conditions and an example. (1974)The M3-Competition: results, conclusions and implications (2000)25 years of time series forecasting (2006)Chapter 4 Forecast Combinations (2006)Expected stock returns and volatility (1987)Efficient Capital Markets: II (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Conditioning Variables and the Cross Section of Stock Returns (1999)International evidence on ethical mutual fund performance and investment style (2004)Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis (2006)Modern Portfolio Theory and Investment Analysis. (1982)The Statistics of Sharpe Ratios (2002)An econometric model of serial correlation and illiquidity in hedge fund returns (2004)Deep Direct Reinforcement Learning for Financial Signal Representation and Trading (2016)The financial analysts journal (1960)The journal of financial economics (1993)Learning to trade via direct reinforcement (2001)Does the choice of performance measure influence the evaluation of hedge funds? (2007)Blind to carbon risk? An analysis of stock market reaction to the Paris Agreement (2020)On Estimating the Expected Return on the Market: An Exploratory Investigation (1980)Performance measurement with the arbitrage pricing theory (1986)The Determinants of the Flow of Funds of Managed Portfolios: Mutual Funds vs. Pension Funds (2002)Risk Aversion and Incentive Effects (2002)A perspective on judgment and choice: Mapping bounded rationality. (2003)Maps of Bounded Rationality: Psychology for Behavioral Economics (2003)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Limits for the Precision and Value of Information from Dependent Sources (1985)Combining Economic Forecasts (1986)Forecast combinations: An over 50-year review (2022)Forecasting the behavior of multivariate time series using neural networks (1992)The Effectiveness of Antiterrorism Policies: A Vector-Autoregression-Intervention Analysis (1993)Economic and statistical measures of forecast accuracy (2000)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)
this work references cited by second hop

References

  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1966Mutual Fund Performance3,932 cited
  • 1954Exposition of a New Theory on the Measurement of Risk2,787 cited
  • 1994The Sharpe Ratio2,542 cited
  • 1989Combining forecasts: A review and annotated bibliography2,170 cited
  • 1995Predictability of Stock Returns: Robustness and Economic Significance1,034 cited
  • 1973How to Use Security Analysis to Improve Portfolio Selection822 cited
  • 1986Forecasting Economic Time Series714 cited
  • 1991Downside risk604 cited
  • 1983The Combination of Forecasts385 cited

Cited by

  • 2014Online portfolio selection245 cited
  • 2017An adaptive portfolio trading system: A risk-return portfolio optimization using recurrent reinforcement learning with expected maximum drawdown240 cited
  • 2012PAMR: Passive aggressive mean reversion strategy for portfolio selection235 cited
  • 2020Multi-DQN: An ensemble of Deep Q-learning agents for stock market forecasting227 cited
  • 2020Deep Reinforcement Learning for Trading226 cited
  • 2023

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Recent advances in reinforcement learning in finance
211 cited
  • 2001Computational learning techniques for intraday FX trading using popular technical indicators167 cited
  • 2011CORN156 cited
  • 2020Financial portfolio optimization with online deep reinforcement learning and restricted stacked autoencoder—DeepBreath154 cited
  • 2019Reinforcement Learning in Financial Markets150 cited
  • 2020Deep Learning for Portfolio Optimization150 cited
  • 2019AlphaStock142 cited
  • 2021DeepTrader: A Deep Reinforcement Learning Approach for Risk-Return Balanced Portfolio Management with Market Conditions Embedding141 cited
  • 2020A multi-layer and multi-ensemble stock trader using deep learning and deep reinforcement learning136 cited
  • 2020Continuous‐time mean–variance portfolio selection: A reinforcement learning framework130 cited
  • 2006Stock Trading Using RSPOP: A Novel Rough Set-Based Neuro-Fuzzy Approach124 cited