{"id":"https://openalex.org/W4312433136","doi":"https://doi.org/10.52396/justc-2022-0072","title":"A new deep reinforcement learning model for dynamic portfolio optimization","display_name":"A new deep reinforcement learning model for dynamic portfolio optimization","publication_year":2022,"publication_date":"2022-01-01","ids":{"openalex":"https://openalex.org/W4312433136","doi":"https://doi.org/10.52396/justc-2022-0072"},"language":"en","primary_location":{"id":"doi:10.52396/justc-2022-0072","doi":"https://doi.org/10.52396/justc-2022-0072","is_oa":true,"landing_page_url":"https://doi.org/10.52396/justc-2022-0072","pdf_url":null,"source":{"id":"https://openalex.org/S2764492260","display_name":"JUSTC","issn_l":"0253-2778","issn":["0253-2778"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["cwts-core","poland-20","russia-white-list-4"],"host_organization":"https://openalex.org/P4324392723","host_organization_name":"Editorial Office of Journal of University of Science and Technology of China","host_organization_lineage":["https://openalex.org/P4324392723"],"host_organization_lineage_names":["Editorial Office of Journal of University of Science and Technology of China"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"JUSTC","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://doi.org/10.52396/justc-2022-0072","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":null,"display_name":"Weiwei Zhuang","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Weiwei Zhuang","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"middle","author":{"id":null,"display_name":"Cai Chen","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Cai Chen","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5043865913","display_name":"Guoxin Qiu","orcid":"https://orcid.org/0000-0001-9869-9849","observed_orcids":["https://orcid.org/0000-0001-9869-9849"]},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Guoxin Qiu","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":["https://openalex.org/A5043865913"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.3967,"has_fulltext":false,"cited_by_count":5,"citation_normalized_percentile":{"value":0.60239971,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":95,"max":97},"biblio":{"volume":"52","issue":"11","first_page":"3","last_page":"3"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.8798999786376953,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.8798999786376953,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.09870000183582306,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.008700000122189522,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/dynamic-portfolio-optimization","display_name":"dynamic portfolio optimization","score":0.9940000176429749},{"id":"https://openalex.org/keywords/deep-reinforcement-learning","display_name":"deep reinforcement learning","score":0.9990000128746033},{"id":"https://openalex.org/keywords/ceemdan","display_name":"CEEMDAN","score":0.9330000281333923},{"id":"https://openalex.org/keywords/empirical-mode-decomposition","display_name":"empirical mode decomposition","score":0.7269999980926514},{"id":"https://openalex.org/keywords/multi-head-attention","display_name":"multi-head attention","score":0.925000011920929},{"id":"https://openalex.org/keywords/high-dimensional-state-spaces","display_name":"high-dimensional state spaces","score":0.8529999852180481},{"id":"https://openalex.org/keywords/investment-strategy","display_name":"investment strategy","score":0.7699999809265137},{"id":"https://openalex.org/keywords/stock-portfolios","display_name":"stock portfolios","score":0.42100000381469727}],"concepts":[{"id":"https://openalex.org/C97541855","wikidata":"https://www.wikidata.org/wiki/Q830687","display_name":"Reinforcement learning","level":2,"score":0.9002552628517151},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.6807523965835571},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.6750662922859192},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.6053295731544495},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.4814035892486572},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.47671741247177124},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.09882944822311401},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.52396/justc-2022-0072","doi":"https://doi.org/10.52396/justc-2022-0072","is_oa":true,"landing_page_url":"https://doi.org/10.52396/justc-2022-0072","pdf_url":null,"source":{"id":"https://openalex.org/S2764492260","display_name":"JUSTC","issn_l":"0253-2778","issn":["0253-2778"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["cwts-core","poland-20","russia-white-list-4"],"host_organization":"https://openalex.org/P4324392723","host_organization_name":"Editorial Office of Journal of University of Science and Technology of China","host_organization_lineage":["https://openalex.org/P4324392723"],"host_organization_lineage_names":["Editorial Office of Journal of University of Science and Technology of China"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"JUSTC","raw_type":"journal-article"}],"best_oa_location":{"id":"doi:10.52396/justc-2022-0072","doi":"https://doi.org/10.52396/justc-2022-0072","is_oa":true,"landing_page_url":"https://doi.org/10.52396/justc-2022-0072","pdf_url":null,"source":{"id":"https://openalex.org/S2764492260","display_name":"JUSTC","issn_l":"0253-2778","issn":["0253-2778"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["cwts-core","poland-20","russia-white-list-4"],"host_organization":"https://openalex.org/P4324392723","host_organization_name":"Editorial Office of Journal of University of Science and Technology of China","host_organization_lineage":["https://openalex.org/P4324392723"],"host_organization_lineage_names":["Editorial Office of Journal of University of Science and Technology of China"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"JUSTC","raw_type":"journal-article"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":12,"referenced_works":["https://openalex.org/W2007221293","https://openalex.org/W2125056386","https://openalex.org/W2160519132","https://openalex.org/W2911293880","https://openalex.org/W2965771985","https://openalex.org/W2967254933","https://openalex.org/W3010647961","https://openalex.org/W3031339344","https://openalex.org/W3083252136","https://openalex.org/W3126577088","https://openalex.org/W3128663285","https://openalex.org/W4289285046"],"related_works":["https://openalex.org/W3198851288","https://openalex.org/W2912823139","https://openalex.org/W4409635912","https://openalex.org/W3177085612","https://openalex.org/W7159804497","https://openalex.org/W4406633991","https://openalex.org/W7084116430","https://openalex.org/W7155602330","https://openalex.org/W3133480824","https://openalex.org/W4385654074"],"abstract_inverted_index":{"There":[0],"are":[1],"many":[2],"challenging":[3],"problems":[4],"for":[5],"dynamic":[6,106],"portfolio":[7,107,127],"optimization":[8],"using":[9],"deep":[10,77],"reinforcement":[11,67,82],"learning,":[12],"such":[13],"as":[14,24,26],"the":[15,19,27,53,87,117,126,130,134],"high":[16],"dimensions":[17],"of":[18,29,92,119],"environmental":[20],"and":[21,37,80,89,133],"action":[22],"spaces,":[23],"well":[25],"extraction":[28],"useful":[30],"information":[31],"from":[32],"a":[33,48,76,81],"high-dimensional":[34],"state":[35],"space":[36],"noisy":[38],"financial":[39],"time-series":[40],"data.":[41],"To":[42],"solve":[43],"these":[44],"problems,":[45],"we":[46,110],"propose":[47],"new":[49,70],"model":[50,71,84,100],"structure":[51,101,135],"called":[52],"complete":[54],"ensemble":[55],"empirical":[56],"mode":[57],"decomposition":[58],"with":[59,64],"adaptive":[60],"noise":[61],"(CEEMDAN)":[62],"method":[63],"multi-head":[65],"attention":[66],"learning.":[68],"This":[69],"integrates":[72],"data":[73],"processing":[74],"methods,":[75],"learning":[78,83],"model,":[79],"to":[85],"improve":[86],"perception":[88],"decision-making":[90],"abilities":[91],"investors.":[93],"Empirical":[94],"analysis":[95],"shows":[96],"that":[97],"our":[98],"proposed":[99],"has":[102],"some":[103],"advantages":[104],"in":[105,116,125],"optimization.":[108],"Moreover,":[109],"find":[111],"another":[112],"robust":[113],"investment":[114],"strategy":[115],"process":[118],"experimental":[120],"comparison,":[121],"where":[122],"each":[123],"stock":[124],"is":[128,136],"given":[129],"same":[131],"capital":[132],"applied":[137],"separately.":[138]},"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2025,"cited_by_count":3}],"updated_date":"2026-11-07T11:25:07.637180","created_date":"2023-01-04T00:00:00"}
