000151593 001__ 151593
000151593 005__ 20250319155216.0
000151593 0247_ $$2doi$$a10.1016/j.iref.2025.103996
000151593 0248_ $$2sideral$$a143200
000151593 037__ $$aART-2025-143200
000151593 041__ $$aeng
000151593 100__ $$aJiang, Yifu
000151593 245__ $$aHigh-dimensional multi-period portfolio allocation using deep reinforcement learning
000151593 260__ $$c2025
000151593 5060_ $$aAccess copy available to the general public$$fUnrestricted
000151593 5203_ $$aThis paper proposes a novel investment strategy based on deep reinforcement learning (DRL) for long-term portfolio allocation in the presence of transaction costs and risk aversion. We design an advanced portfolio policy framework to model the price dynamic patterns using convolutional neural networks (CNN), capture group-wise asset dependence using WaveNet, and solve the optimal asset allocation problem using DRL. These methods are embedded within a multi-period Bellman equation framework. An additional appealing feature of our investment strategy is its ability to optimize dynamically over a large set of potentially correlated risky assets. The performance of this portfolio is tested empirically over different holding periods, risk aversion levels, transaction cost rates, and financial indices. The results demonstrate the effectiveness and superiority of the proposed long-term portfolio allocation strategy compared to several competitors based on machine learning methods and traditional optimization techniques.
000151593 536__ $$9info:eu-repo/grantAgreement/ES/AEI/PID2023-147798NB-I00
000151593 540__ $$9info:eu-repo/semantics/openAccess$$aby$$uhttp://creativecommons.org/licenses/by/3.0/es/
000151593 655_4 $$ainfo:eu-repo/semantics/article$$vinfo:eu-repo/semantics/publishedVersion
000151593 700__ $$0(orcid)0000-0002-0437-7812$$aOlmo Badenas, Jose
000151593 700__ $$0(orcid)0000-0001-5983-6804$$aAtwi Saab, Majed$$uUniversidad de Zaragoza
000151593 7102_ $$14000$$2415$$aUniversidad de Zaragoza$$bDpto. Análisis Económico$$cÁrea Fund. Análisis Económico
000151593 773__ $$g98 (2025), 103996 [18 pp.]$$pINTERNATIONAL REVIEW OF ECONOMICS & FINANCE$$tINTERNATIONAL REVIEW OF ECONOMICS & FINANCE$$x1059-0560
000151593 8564_ $$s7791619$$uhttps://zaguan.unizar.es/record/151593/files/texto_completo.pdf$$yVersión publicada
000151593 8564_ $$s2151348$$uhttps://zaguan.unizar.es/record/151593/files/texto_completo.jpg?subformat=icon$$xicon$$yVersión publicada
000151593 909CO $$ooai:zaguan.unizar.es:151593$$particulos$$pdriver
000151593 951__ $$a2025-03-19-14:18:44
000151593 980__ $$aARTICLE