Cited By
View all- Pancholi KShukla P(2025)Harnessing AI for SustainabilityDiversity, AI, and Sustainability for Financial Growth10.4018/979-8-3693-6011-8.ch005(97-124)Online publication date: 24-Jan-2025
Lower Risks, Better Choices: Stock Correlation Based Portfolio Selection in Stock Markets
Authors: 
Di Luo, Weiheng Liao, Rui YanAuthors Info & Claims
Di Luo, Weiheng Liao, Rui YanAuthors Info & ClaimsPages 1 - 4
Abstract
Over the past few years, we’ve seen a huge interest in applying AI techniques to develop investment strategies both in academia and the finance industry. However, we note that generating returns is not always the sole investment objective. Take large pension funds for example, they are considerably more risk-averse as opposed to profit-seeking. With this observation, we propose a Risk-balanced Deep Portfolio Constructor (RDPC) that takes risk into explicit consideration. RDPC is an end-to-end reinforcement learning-based transformer trained to optimize both returns and risk, with a hard attention mechanism that learns the relationship between asset pairs, imitating the powerful pairs trading strategy widely adopted by many investors. Experiments on real-world data show that RDPC achieves state-of-the-art performance not just on risk metrics such as maximum drawdown, but also on risk-adjusted returns metrics including Sharpe ratio and Calmar ratio.
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Index Terms
- Lower Risks, Better Choices: Stock Correlation Based Portfolio Selection in Stock Markets
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Published In
April 2023
1567 pages
ISBN:9781450394192
DOI:10.1145/3543873
Copyright © 2023 Owner/Author.
Permission to make digital or hard copies of part or all of this work for personal or classroom use is granted without fee provided that copies are not made or distributed for profit or commercial advantage and that copies bear this notice and the full citation on the first page. Copyrights for third-party components of this work must be honored. For all other uses, contact the Owner/Author.
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Published: 30 April 2023
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Cited By
View all- Pancholi KShukla P(2025)Harnessing AI for SustainabilityDiversity, AI, and Sustainability for Financial Growth10.4018/979-8-3693-6011-8.ch005(97-124)Online publication date: 24-Jan-2025
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