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Curriculum learning empowered reinforcement learning for graph-based portfolio management: : Performance optimization and comprehensive analysis

Published: 21 November 2024 Publication History

Abstract

Portfolio management (PM) is a popular financial process that concerns the occasional reallocation of a particular quantity of capital into a portfolio of assets, with the main aim of maximizing profitability conditioned to a certain level of risk. Given the inherent dynamicity of stock exchanges and development for long-term performance, reinforcement learning (RL) has become a dominating solution for solving the problem of portfolio management in an automated and efficient manner. Nevertheless, the present RL-based PM methods just take into account the variations in prices of portfolio assets and the implications of price variations, while overlooking the significant relationships among different assets in the market, which are extremely valuable for managerial decisions. To close this gap, this paper introduces a novel deep model that combines two subnetworks; one to learn a temporal representation of historical prices using a refined temporal learner, while the other learns the relationships between different stocks in the market using a relation graph learner (RGL). Then, the above learners are integrated into the curriculum RL scheme for formulating the PM as a curriculum Markov Decision Process, in which an adaptive curriculum policy is presented to enable the agent to adaptively minimize risk value and maximize cumulative return. Proof-of-concept experiments are performed on data from three public stock indices (namely S&P500, NYSE, and NASDAQ), and the results demonstrate the efficiency of the proposed framework in improving the portfolio management performance over the competing RL solutions.

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            Published In

            cover image Neural Networks
            Neural Networks  Volume 179, Issue C
            Nov 2024
            1557 pages

            Publisher

            Elsevier Science Ltd.

            United Kingdom

            Publication History

            Published: 21 November 2024

            Author Tags

            1. Portfolio management
            2. Curriculum learning
            3. Transformer network
            4. Graph neural networks
            5. Deep reinforcement learning

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