An Intelligent Portfolio Management Scheme Based On Hybrid Deep Reinforcement Learning and Cumulative Prospective Approach
- Title
- An Intelligent Portfolio Management Scheme Based On Hybrid Deep Reinforcement Learning and Cumulative Prospective Approach
- Creator
- Ramaiah K.; Soundarabai P.B.
- Description
- Stock markets retain an extensive role towards economic growth of diverse countries and it is a place where investors invest assured amount to earn more profit and the issuers pursue the investors for project investing. However, it is deliberated as a challenging task to buy and sell because of its explosive and complex nature. The existing portfolio optimization models are primarily focused on just improving the returns whereas, the selection of optimal assets is least focused. Hence, the proposed research article focuses on the integration of stock prediction with the portfolio optimization model (SPPO). Initially, the stock prices for the next period are predicted using the hybrid deep reinforcement learning (DRL) model. Within this prediction model, the gated recurrent unit network (GRUN) model is utilized to simulate the interactions of the agent with the environment. The best actions in the prediction model are determined throughout the prediction process using the quantum differential evolution algorithm (Q-DEA). After the prediction of best assets, the optimal portfolio with the best assets is selected using the cumulative prospect theory (CPT) model. The work will be implemented in python and evaluated using the NIFTY-50 Stock Market Data (2000 -2021) dataset. Minimal error rates of 0.130, 0.114, 0.148 and 0.153 is obtained by the proposed model in case of MSE, MAE, RMSE and MAPE. 2024 IEEE.
- Source
- Proceedings of ICWITE 2024: IEEE International Conference for Women in Innovation, Technology and Entrepreneurship, pp. 117-123.
- Date
- 2024-01-01
- Publisher
- Institute of Electrical and Electronics Engineers Inc.
- Subject
- Assets; Deep reinforcement learning; Optimal Return; Optimization; Portfolio selection; Stock price prediction
- Coverage
- Ramaiah K., Christ (Deemed to Be University), Department of Computer Science, Bengaluru, 560029, India; Soundarabai P.B., Christ (Deemed to Be University), Department of Computer Science, Bengaluru, 560029, India
- Rights
- Restricted Access
- Relation
- ISBN: 979-835038328-7
- Format
- Online
- Language
- English
- Type
- Conference paper
Collection
Citation
Ramaiah K.; Soundarabai P.B., “An Intelligent Portfolio Management Scheme Based On Hybrid Deep Reinforcement Learning and Cumulative Prospective Approach,” CHRIST (Deemed To Be University) Institutional Repository, accessed February 25, 2025, https://archives.christuniversity.in/items/show/19463.