Portfolio construction using explainable reinforcement learning

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dc.contributor.authorCortés González, Daniel
dc.contributor.authorOnieva Caracuel, Enrique
dc.contributor.authorPastor López, Iker
dc.contributor.authorTrinchera, Laura
dc.contributor.authorWu, Jian
dc.date.accessioned2025-03-13T11:17:27Z
dc.date.available2025-03-13T11:17:27Z
dc.date.issued2024-11
dc.date.updated2025-03-13T11:17:27Z
dc.description.abstractWhile machine learning's role in financial trading has advanced considerably, algorithmic transparency and explainability challenges still exist. This research enriches prior studies focused on high-frequency financial data prediction by introducing an explainable reinforcement learning model for portfolio management. This model transcends basic asset prediction, formulating concrete, actionable trading strategies. The methodology is applied in a custom trading environment mimicking the CAC-40 index's financial conditions, allowing the model to adapt dynamically to market changes based on iterative learning from historical data. Empirical findings reveal that the model outperforms an equally weighted portfolio in out-of-sample tests. The study offers a dual contribution: it elevates algorithmic planning while significantly boosting transparency and interpretability in financial machine learning. This approach tackles the enduring ‘black-box’ issue and provides a holistic, transparent framework for managing investment portfolios.en
dc.description.sponsorshipNEOMA Business School's AI, Data Science & Business Area of Excellence, Grant/Award Number: 416004en
dc.identifier.citationCortés, D. G., Onieva, E., Pastor, I., Trinchera, L., & Wu, J. (2024). Portfolio construction using explainable reinforcement learning. Expert Systems, 41(11). https://doi.org/10.1111/EXSY.13667
dc.identifier.doi10.1111/EXSY.13667
dc.identifier.eissn1468-0394
dc.identifier.issn0266-4720
dc.identifier.urihttp://hdl.handle.net/20.500.14454/2520
dc.language.isoeng
dc.publisherJohn Wiley and Sons Inc
dc.rights© 2024 The Author(s)
dc.subject.otherAlgorithmic transparency
dc.subject.otherExplainable reinforcement learning
dc.subject.otherFinance
dc.subject.otherPortfolio management
dc.titlePortfolio construction using explainable reinforcement learningen
dc.typejournal article
dcterms.accessRightsopen access
oaire.citation.issue11
oaire.citation.titleExpert Systems
oaire.citation.volume41
oaire.licenseConditionhttps://creativecommons.org/licenses/by-nc/4.0/
oaire.versionVoR
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