{"id":"https://openalex.org/W4411460463","doi":"https://doi.org/10.1002/isaf.70008","title":"Multi\u2010Objective Bayesian Optimization of Deep Reinforcement Learning for Environmental, Social, and Governance (ESG) Financial Portfolio Management","display_name":"Multi\u2010Objective Bayesian Optimization of Deep Reinforcement Learning for Environmental, Social, and Governance (ESG) Financial Portfolio Management","publication_year":2025,"publication_date":"2025-06-01","ids":{"openalex":"https://openalex.org/W4411460463","doi":"https://doi.org/10.1002/isaf.70008"},"language":"en","primary_location":{"id":"doi:10.1002/isaf.70008","is_oa":false,"landing_page_url":"https://doi.org/10.1002/isaf.70008","pdf_url":null,"source":{"id":"https://openalex.org/S4394735491","display_name":"Intelligent systems in accounting, finance and management/Intelligent systems in accounting, finance & management","issn_l":"1550-1949","issn":["1550-1949","2160-0074"],"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Intelligent Systems in Accounting, Finance and Management","raw_type":"journal-article"},"type":"article","indexed_in":["arxiv","crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/2512.14992","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5070783543","display_name":"Eduardo C. Garrido\u2010Merch\u00e1n","orcid":"https://orcid.org/0000-0002-2695-5484"},"institutions":[{"id":"https://openalex.org/I96580804","display_name":"Universidad Pontificia Comillas","ror":"https://ror.org/017mdc710","country_code":"ES","type":"education","lineage":["https://openalex.org/I96580804"]}],"countries":["ES"],"is_corresponding":false,"raw_author_name":"Eduardo\u00a0C. Garrido\u2010Merch\u00e1n","raw_affiliation_strings":["Faculty of Economics and Business (ICADE) Universidad Pontificia Comillas  Madrid Spain","Institute for Research in Technology (IIT) Universidad Pontificia Comillas  Madrid Spain"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Faculty of Economics and Business (ICADE) Universidad Pontificia Comillas  Madrid Spain","institution_ids":["https://openalex.org/I96580804"]},{"raw_affiliation_string":"Institute for Research in Technology (IIT) Universidad Pontificia Comillas  Madrid Spain","institution_ids":["https://openalex.org/I96580804"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5118395392","display_name":"Sol Mora\u2010Figueroa","orcid":null},"institutions":[{"id":"https://openalex.org/I96580804","display_name":"Universidad Pontificia Comillas","ror":"https://ror.org/017mdc710","country_code":"ES","type":"education","lineage":["https://openalex.org/I96580804"]}],"countries":["ES"],"is_corresponding":false,"raw_author_name":"Sol Mora\u2010Figueroa","raw_affiliation_strings":["Faculty of Economics and Business (ICADE) Universidad Pontificia Comillas  Madrid Spain"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Faculty of Economics and Business (ICADE) Universidad Pontificia Comillas  Madrid Spain","institution_ids":["https://openalex.org/I96580804"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5044603645","display_name":"Mar\u00eda Coronado Vaca","orcid":"https://orcid.org/0000-0002-0315-3753"},"institutions":[{"id":"https://openalex.org/I96580804","display_name":"Universidad Pontificia Comillas","ror":"https://ror.org/017mdc710","country_code":"ES","type":"education","lineage":["https://openalex.org/I96580804"]}],"countries":["ES"],"is_corresponding":true,"raw_author_name":"Mar\u00eda Coronado\u2010Vaca","raw_affiliation_strings":["Faculty of Economics and Business (ICADE) Universidad Pontificia Comillas  Madrid Spain"],"raw_orcid":"https://orcid.org/0000-0002-0315-3753","affiliations":[{"raw_affiliation_string":"Faculty of Economics and Business (ICADE) Universidad Pontificia Comillas  Madrid Spain","institution_ids":["https://openalex.org/I96580804"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5044603645"],"corresponding_institution_ids":["https://openalex.org/I96580804"],"apc_list":null,"apc_paid":null,"fwci":5.8407,"has_fulltext":false,"cited_by_count":3,"citation_normalized_percentile":{"value":0.95851199,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":91,"max":99},"biblio":{"volume":"32","issue":"2","first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9994000196456909,"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"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9994000196456909,"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"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9973999857902527,"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/T12101","display_name":"Advanced Bandit Algorithms Research","score":0.9955000281333923,"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"}}],"keywords":[{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.6668825149536133},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.6273942589759827},{"id":"https://openalex.org/keywords/performance-metric","display_name":"Performance metric","score":0.596735417842865},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5722970366477966},{"id":"https://openalex.org/keywords/hyperparameter","display_name":"Hyperparameter","score":0.5529520511627197},{"id":"https://openalex.org/keywords/reinforcement-learning","display_name":"Reinforcement learning","score":0.520557701587677},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.518168568611145},{"id":"https://openalex.org/keywords/maximization","display_name":"Maximization","score":0.48823145031929016},{"id":"https://openalex.org/keywords/project-portfolio-management","display_name":"Project portfolio management","score":0.4724738299846649},{"id":"https://openalex.org/keywords/metric","display_name":"Metric (unit)","score":0.4621157944202423},{"id":"https://openalex.org/keywords/financial-market","display_name":"Financial market","score":0.45150765776634216},{"id":"https://openalex.org/keywords/black\u2013litterman-model","display_name":"Black\u2013Litterman model","score":0.42876189947128296},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.3844638466835022},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.34227949380874634},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.2913692593574524},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.2689783573150635},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.2146378755569458},{"id":"https://openalex.org/keywords/replicating-portfolio","display_name":"Replicating portfolio","score":0.1559273600578308},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.13564684987068176},{"id":"https://openalex.org/keywords/operations-management","display_name":"Operations management","score":0.11075770854949951}],"concepts":[{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6668825149536133},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.6273942589759827},{"id":"https://openalex.org/C2780898871","wikidata":"https://www.wikidata.org/wiki/Q860554","display_name":"Performance metric","level":2,"score":0.596735417842865},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5722970366477966},{"id":"https://openalex.org/C8642999","wikidata":"https://www.wikidata.org/wiki/Q4171168","display_name":"Hyperparameter","level":2,"score":0.5529520511627197},{"id":"https://openalex.org/C97541855","wikidata":"https://www.wikidata.org/wiki/Q830687","display_name":"Reinforcement learning","level":2,"score":0.520557701587677},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.518168568611145},{"id":"https://openalex.org/C2776330181","wikidata":"https://www.wikidata.org/wiki/Q18358244","display_name":"Maximization","level":2,"score":0.48823145031929016},{"id":"https://openalex.org/C74510933","wikidata":"https://www.wikidata.org/wiki/Q1936145","display_name":"Project portfolio management","level":3,"score":0.4724738299846649},{"id":"https://openalex.org/C176217482","wikidata":"https://www.wikidata.org/wiki/Q860554","display_name":"Metric (unit)","level":2,"score":0.4621157944202423},{"id":"https://openalex.org/C19244329","wikidata":"https://www.wikidata.org/wiki/Q208697","display_name":"Financial market","level":2,"score":0.45150765776634216},{"id":"https://openalex.org/C77913304","wikidata":"https://www.wikidata.org/wiki/Q879967","display_name":"Black\u2013Litterman model","level":5,"score":0.42876189947128296},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.3844638466835022},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.34227949380874634},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.2913692593574524},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.2689783573150635},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.2146378755569458},{"id":"https://openalex.org/C21099588","wikidata":"https://www.wikidata.org/wiki/Q7314068","display_name":"Replicating portfolio","level":4,"score":0.1559273600578308},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.13564684987068176},{"id":"https://openalex.org/C21547014","wikidata":"https://www.wikidata.org/wiki/Q1423657","display_name":"Operations management","level":1,"score":0.11075770854949951},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0},{"id":"https://openalex.org/C15952604","wikidata":"https://www.wikidata.org/wiki/Q179012","display_name":"Project management","level":2,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1002/isaf.70008","is_oa":false,"landing_page_url":"https://doi.org/10.1002/isaf.70008","pdf_url":null,"source":{"id":"https://openalex.org/S4394735491","display_name":"Intelligent systems in accounting, finance and management/Intelligent systems in accounting, finance & management","issn_l":"1550-1949","issn":["1550-1949","2160-0074"],"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Intelligent Systems in Accounting, Finance and Management","raw_type":"journal-article"},{"id":"pmh:oai:arXiv.org:2512.14992","is_oa":true,"landing_page_url":"http://arxiv.org/abs/2512.14992","pdf_url":"https://arxiv.org/pdf/2512.14992","source":{"id":"https://openalex.org/S4393918464","display_name":"ArXiv.org","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:2512.14992","is_oa":true,"landing_page_url":"http://arxiv.org/abs/2512.14992","pdf_url":"https://arxiv.org/pdf/2512.14992","source":{"id":"https://openalex.org/S4393918464","display_name":"ArXiv.org","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":78,"referenced_works":["https://openalex.org/W637908898","https://openalex.org/W1413904075","https://openalex.org/W1845972764","https://openalex.org/W1971432209","https://openalex.org/W1972560205","https://openalex.org/W1993612039","https://openalex.org/W1995834279","https://openalex.org/W1996223377","https://openalex.org/W2029056003","https://openalex.org/W2042456949","https://openalex.org/W2090822694","https://openalex.org/W2106150020","https://openalex.org/W2123948893","https://openalex.org/W2138490239","https://openalex.org/W2145339207","https://openalex.org/W2153580489","https://openalex.org/W2155027007","https://openalex.org/W2166215547","https://openalex.org/W2166935405","https://openalex.org/W2731083990","https://openalex.org/W2736601468","https://openalex.org/W2765493925","https://openalex.org/W2807716572","https://openalex.org/W2886480950","https://openalex.org/W2896893468","https://openalex.org/W2897173002","https://openalex.org/W2899017473","https://openalex.org/W2901174038","https://openalex.org/W2905173465","https://openalex.org/W2919115771","https://openalex.org/W2934675656","https://openalex.org/W2941037157","https://openalex.org/W2942065881","https://openalex.org/W2949784712","https://openalex.org/W2953899168","https://openalex.org/W2955131575","https://openalex.org/W2956885731","https://openalex.org/W2963467914","https://openalex.org/W2981879754","https://openalex.org/W2989794691","https://openalex.org/W3002348292","https://openalex.org/W3005158858","https://openalex.org/W3005883791","https://openalex.org/W3008231236","https://openalex.org/W3010291643","https://openalex.org/W3012223895","https://openalex.org/W3012333258","https://openalex.org/W3081043352","https://openalex.org/W3100366369","https://openalex.org/W3106281374","https://openalex.org/W3123348301","https://openalex.org/W3123538194","https://openalex.org/W3123608331","https://openalex.org/W3125435015","https://openalex.org/W3125969230","https://openalex.org/W3143493396","https://openalex.org/W3145489280","https://openalex.org/W3153771038","https://openalex.org/W3154200574","https://openalex.org/W3178495969","https://openalex.org/W3212614390","https://openalex.org/W3214182595","https://openalex.org/W4214717370","https://openalex.org/W4220915190","https://openalex.org/W4237239309","https://openalex.org/W4239502064","https://openalex.org/W4280609679","https://openalex.org/W4281296357","https://openalex.org/W4285289031","https://openalex.org/W4285333950","https://openalex.org/W4286111085","https://openalex.org/W4293912498","https://openalex.org/W4294349391","https://openalex.org/W4297199867","https://openalex.org/W4316035578","https://openalex.org/W4324361235","https://openalex.org/W4362722548","https://openalex.org/W4367187382"],"related_works":["https://openalex.org/W3047888544","https://openalex.org/W4250690821","https://openalex.org/W2398903058","https://openalex.org/W2174192165","https://openalex.org/W3181364711","https://openalex.org/W3117269899","https://openalex.org/W2485348678","https://openalex.org/W3118302050","https://openalex.org/W3041802806","https://openalex.org/W3124418487"],"abstract_inverted_index":{"ABSTRACT":[0],"Financial":[1],"portfolio":[2,25,107,287],"management":[3],"focuses":[4],"on":[5,398],"the":[6,19,24,33,41,48,60,65,68,75,91,97,112,118,127,142,159,173,189,257,261,273,277,281,286,291,293,296,307,312,321,328,334,339,342,347,351,354,365,369,379,387,399],"maximization":[7],"of":[8,23,40,64,99,114,161,175,183,191,213,235,238,245,270,285,295,333,346,353,381],"several":[9],"objectives":[10,30],"in":[11,117,320,331,358],"a":[12,151,181,229,243,246,394],"trading":[13],"period":[14],"related":[15],"not":[16,52,123],"only":[17,59],"to":[18,28,81,84,136,149,172,188,207,255,264,290],"risk":[20,61],"and":[21,36,62,133,167,202,205,249,259,280,288,327,341,372],"performance":[22,63,160,352],"but":[26,58],"also":[27],"other":[29],"such":[31,46,89],"as":[32,47,90],"environment,":[34],"social,":[35],"governance":[37],"(ESG)":[38],"score":[39,144,284,345],"portfolio.":[42,66,298,348],"Regrettably,":[43],"classic":[44,115],"methods":[45,184],"Markowitz":[49],"model":[50,73],"do":[51,122],"take":[53],"into":[54],"account":[55],"ESG":[56,105,143,251,282,344,374],"scores":[57],"Moreover,":[67],"assumptions":[69,125],"made":[70],"by":[71,338,385,393],"this":[72,218],"about":[74],"financial":[76,106,128],"returns":[77,129],"make":[78,124],"it":[79,168],"unfeasible":[80],"be":[82],"applicable":[83],"markets":[85,330],"with":[86,138,390],"high":[87,165],"volatility":[88],"technological":[92],"sector.":[93],"This":[94],"paper":[95],"investigates":[96],"application":[98],"deep":[100],"reinforcement":[101],"learning":[102],"(DRL)":[103],"for":[104,225],"management.":[108],"DRL":[109,162,214,400],"agents":[110,163],"circumvent":[111],"issue":[113],"models":[116],"sense":[119],"that":[120,153,185,194],"they":[121,146],"like":[126,141],"being":[130,242],"normally":[131],"distributed":[132],"are":[134,147,186,203,317,364],"able":[135],"deal":[137],"any":[139],"information":[140],"if":[145],"configured":[148],"gain":[150],"reward":[152],"makes":[154],"an":[155,222,240,250,266],"objective":[156,227,241,258],"better.":[157],"However,":[158],"has":[164],"variability,":[166],"is":[169,180,200,228],"very":[170,230],"sensible":[171],"value":[174],"their":[176],"hyperparameters.":[177],"Bayesian":[178],"optimization":[179,190],"class":[182],"suited":[187],"black\u2010box":[192],"functions,":[193],"is,":[195],"functions":[196],"whose":[197],"analytical":[198],"expression":[199],"unknown":[201],"noisy":[204],"expensive":[206,231],"evaluate.":[208],"The":[209,315],"hyperparameter":[210,401],"tuning":[211],"problem":[212],"algorithms":[215],"perfectly":[216],"suits":[217],"scenario.":[219],"As":[220],"training":[221],"agent":[223,340],"just":[224],"one":[226,391],"period,":[232],"requiring":[233],"millions":[234],"timesteps,":[236],"instead":[237],"optimizing":[239],"mixture":[244],"risk\u2010performance":[247],"metric":[248],"metric,":[252],"we":[253,377],"choose":[254],"separate":[256],"solve":[260],"multi\u2010objective":[262],"scenario":[263],"obtain":[265],"optimal":[267],"Pareto":[268,356],"set":[269],"portfolios":[271,363],"representing":[272],"best":[274,366],"trade\u2010off":[275,367],"between":[276,368],"Sharpe":[278,335,370],"ratio":[279,336,371],"mean":[283,343,373],"leaving":[289],"investor":[292],"choice":[294],"final":[297],"We":[299,349],"conducted":[300],"our":[301,382],"experiments":[302,316],"using":[303],"environments":[304],"encoded":[305],"within":[306],"OpenAI":[308],"Gym,":[309],"adapted":[310],"from":[311],"FinRL":[313],"platform.":[314],"carried":[318],"out":[319],"Dow":[322],"Jones":[323],"Industrial":[324],"Average":[325],"(DJIA)":[326],"NASDAQ":[329],"terms":[332,360],"achieved":[337,392],"compare":[350],"obtained":[355,388],"sets":[357],"hypervolume":[359,389],"illustrating":[361],"how":[362],"score.":[375],"Also,":[376],"show":[378],"usefulness":[380],"proposed":[383],"methodology":[384,397],"comparing":[386],"random":[395],"search":[396],"space.":[402]},"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2025,"cited_by_count":1}],"updated_date":"2026-05-04T08:30:34.212998","created_date":"2025-10-10T00:00:00"}