Deep Reinforcement Learning in Portfolio Management

Abstract

In this paper, we implement two state-of-art continuous reinforcement learning algorithms, Deep Deterministic Policy Gradient (DDPG) and Proximal Policy Optimization (PPO) in portfolio management. Both of them are widely-used in game playing and robot control. What's more, PPO has appealing theoretical propeties which is hopefully potential in portfolio management. We present the performances of them under different settings, including different learning rate, objective function, markets, feature combinations, in order to provide insights for parameter tuning, features selection and data preparation.