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Factor-MCLS: Advanced Portfolio Optimization by Naofal AKANHO is a document available to read on EtoBox.
What is Factor-MCLS: Advanced Portfolio Optimization about?
The document presents Factor-MCLS, a multi-agent learning system designed for dynamic portfolio optimization that utilizes a reward factor matrix and a multi-critic framework to enhance the understanding of portfolio return and risk. This system allows investors to intervene based on their risk aversion, addressing limitations of traditional deep reinforcement learning methods. Experimental results show that Factor-MCLS significantly outperforms comparative strategies in profitability and risk management, a
- Author
- Naofal AKANHO
- Language
- EN