FreQuant: A Reinforcement-Learning based Adaptive Portfolio Optimization with Multi-frequency Decomposition
Jihyeong Jeon, Jiwon Park, Chanhee Park, U Kang
2024年份
4被引次数
2顶会引用
摘要
How can we leverage inherent frequency features of stock signals for effective portfolio optimization? Portfolio optimization in the domain of finance revolves around strategically allocating assets to maximize returns. Recent advancements highlight the efficacy of deep learning and reinforcement learning (RL) in capturing temporal asset patterns for portfolio optimization. However, previous methodologies focusing on time-domain often fail to detect sudden market shifts and abrupt events because their models are overly tailored to prevalent patterns, resulting in significant losses.
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