{"id":"https://openalex.org/W4401487120","doi":"https://doi.org/10.1007/s00521-024-09805-9","title":"Combining transformer based deep reinforcement learning with Black-Litterman model for portfolio optimization","display_name":"Combining transformer based deep reinforcement learning with Black-Litterman model for portfolio optimization","publication_year":2024,"publication_date":"2024-08-10","ids":{"openalex":"https://openalex.org/W4401487120","doi":"https://doi.org/10.1007/s00521-024-09805-9"},"language":"en","primary_location":{"id":"doi:10.1007/s00521-024-09805-9","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00521-024-09805-9","pdf_url":null,"source":{"id":"https://openalex.org/S147897268","display_name":"Neural Computing and Applications","issn_l":"0941-0643","issn":["0941-0643","1433-3058"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Neural Computing and Applications","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5014042408","display_name":"Ruoyu Sun","orcid":"https://orcid.org/0009-0002-6052-0051"},"institutions":[{"id":"https://openalex.org/I69356397","display_name":"Xi\u2019an Jiaotong-Liverpool University","ror":"https://ror.org/03zmrmn05","country_code":"CN","type":"education","lineage":["https://openalex.org/I69356397"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Ruoyu Sun","raw_affiliation_strings":["Department of Financial and Actuarial Mathematics, School of Mathematics and Physics, Xi\u2019an Jiaotong-Liverpool University, Suzhou, 215123, China","Department of Financial and Actuarial Mathematics, School of Mathematics and Physics, Xi'an Jiaotong-Liverpool University, Suzhou, 215123, China"],"raw_orcid":"https://orcid.org/0009-0002-6052-0051","affiliations":[{"raw_affiliation_string":"Department of Financial and Actuarial Mathematics, School of Mathematics and Physics, Xi\u2019an Jiaotong-Liverpool University, Suzhou, 215123, China","institution_ids":["https://openalex.org/I69356397"]},{"raw_affiliation_string":"Department of Financial and Actuarial Mathematics, School of Mathematics and Physics, Xi'an Jiaotong-Liverpool University, Suzhou, 215123, China","institution_ids":["https://openalex.org/I69356397"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5034081162","display_name":"Angelos Stefanidis","orcid":"https://orcid.org/0000-0002-4703-8765"},"institutions":[{"id":"https://openalex.org/I69356397","display_name":"Xi\u2019an Jiaotong-Liverpool University","ror":"https://ror.org/03zmrmn05","country_code":"CN","type":"education","lineage":["https://openalex.org/I69356397"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Angelos Stefanidis","raw_affiliation_strings":["School of AI and Advanced Computing, XJTLU Entrepreneur College (Taicang), Xi\u2019an Jiaotong-Liverpool University, Suzhou, 215123, China","School of AI and Advanced Computing, XJTLU Entrepreneur College (Taicang), Xi'an Jiaotong-Liverpool University, Suzhou, 215123, China"],"raw_orcid":"https://orcid.org/0000-0002-4703-8765","affiliations":[{"raw_affiliation_string":"School of AI and Advanced Computing, XJTLU Entrepreneur College (Taicang), Xi\u2019an Jiaotong-Liverpool University, Suzhou, 215123, China","institution_ids":["https://openalex.org/I69356397"]},{"raw_affiliation_string":"School of AI and Advanced Computing, XJTLU Entrepreneur College (Taicang), Xi'an Jiaotong-Liverpool University, Suzhou, 215123, China","institution_ids":["https://openalex.org/I69356397"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5011243810","display_name":"Zhengyong Jiang","orcid":"https://orcid.org/0000-0001-8873-4073"},"institutions":[{"id":"https://openalex.org/I69356397","display_name":"Xi\u2019an Jiaotong-Liverpool University","ror":"https://ror.org/03zmrmn05","country_code":"CN","type":"education","lineage":["https://openalex.org/I69356397"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Zhengyong Jiang","raw_affiliation_strings":["School of AI and Advanced Computing, XJTLU Entrepreneur College (Taicang), Xi\u2019an Jiaotong-Liverpool University, Suzhou, 215123, China","School of AI and Advanced Computing, XJTLU Entrepreneur College (Taicang), Xi'an Jiaotong-Liverpool University, Suzhou, 215123, China"],"raw_orcid":"https://orcid.org/0000-0001-8873-4073","affiliations":[{"raw_affiliation_string":"School of AI and Advanced Computing, XJTLU Entrepreneur College (Taicang), Xi\u2019an Jiaotong-Liverpool University, Suzhou, 215123, China","institution_ids":["https://openalex.org/I69356397"]},{"raw_affiliation_string":"School of AI and Advanced Computing, XJTLU Entrepreneur College (Taicang), Xi'an Jiaotong-Liverpool University, Suzhou, 215123, China","institution_ids":["https://openalex.org/I69356397"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5085156744","display_name":"Jionglong Su","orcid":"https://orcid.org/0000-0001-5360-6493"},"institutions":[{"id":"https://openalex.org/I69356397","display_name":"Xi\u2019an Jiaotong-Liverpool University","ror":"https://ror.org/03zmrmn05","country_code":"CN","type":"education","lineage":["https://openalex.org/I69356397"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Jionglong Su","raw_affiliation_strings":["School of AI and Advanced Computing, XJTLU Entrepreneur College (Taicang), Xi\u2019an Jiaotong-Liverpool University, Suzhou, 215123, China","School of AI and Advanced Computing, XJTLU Entrepreneur College (Taicang), Xi'an Jiaotong-Liverpool University, Suzhou, 215123, China"],"raw_orcid":"https://orcid.org/0000-0001-5360-6493","affiliations":[{"raw_affiliation_string":"School of AI and Advanced Computing, XJTLU Entrepreneur College (Taicang), Xi\u2019an Jiaotong-Liverpool University, Suzhou, 215123, China","institution_ids":["https://openalex.org/I69356397"]},{"raw_affiliation_string":"School of AI and Advanced Computing, XJTLU Entrepreneur College (Taicang), Xi'an Jiaotong-Liverpool University, Suzhou, 215123, China","institution_ids":["https://openalex.org/I69356397"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5011243810","https://openalex.org/A5085156744"],"corresponding_institution_ids":["https://openalex.org/I69356397"],"apc_list":{"value":2990,"currency":"USD","value_usd":2990},"apc_paid":null,"fwci":10.6879,"has_fulltext":false,"cited_by_count":26,"citation_normalized_percentile":{"value":0.98931655,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":100},"biblio":{"volume":"36","issue":"32","first_page":"20111","last_page":"20146"},"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":0.9987999796867371,"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/T11052","display_name":"Energy Load and Power Forecasting","score":0.9948999881744385,"subfield":{"id":"https://openalex.org/subfields/2208","display_name":"Electrical and Electronic Engineering"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/black\u2013litterman-model","display_name":"Black\u2013Litterman model","score":0.8073869347572327},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.731120228767395},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.7021414637565613},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.6943842172622681},{"id":"https://openalex.org/keywords/reinforcement-learning","display_name":"Reinforcement learning","score":0.6549270153045654},{"id":"https://openalex.org/keywords/replicating-portfolio","display_name":"Replicating portfolio","score":0.4778030514717102},{"id":"https://openalex.org/keywords/asset-allocation","display_name":"Asset allocation","score":0.44470512866973877},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.39047813415527344},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.3339731693267822},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.18066784739494324},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.14588025212287903},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.09700775146484375}],"concepts":[{"id":"https://openalex.org/C77913304","wikidata":"https://www.wikidata.org/wiki/Q879967","display_name":"Black\u2013Litterman model","level":5,"score":0.8073869347572327},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.731120228767395},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.7021414637565613},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.6943842172622681},{"id":"https://openalex.org/C97541855","wikidata":"https://www.wikidata.org/wiki/Q830687","display_name":"Reinforcement learning","level":2,"score":0.6549270153045654},{"id":"https://openalex.org/C21099588","wikidata":"https://www.wikidata.org/wiki/Q7314068","display_name":"Replicating portfolio","level":4,"score":0.4778030514717102},{"id":"https://openalex.org/C139819358","wikidata":"https://www.wikidata.org/wiki/Q462748","display_name":"Asset allocation","level":3,"score":0.44470512866973877},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.39047813415527344},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.3339731693267822},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.18066784739494324},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.14588025212287903},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.09700775146484375}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1007/s00521-024-09805-9","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00521-024-09805-9","pdf_url":null,"source":{"id":"https://openalex.org/S147897268","display_name":"Neural Computing and Applications","issn_l":"0941-0643","issn":["0941-0643","1433-3058"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Neural Computing and Applications","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":71,"referenced_works":["https://openalex.org/W54257720","https://openalex.org/W609731297","https://openalex.org/W635189952","https://openalex.org/W1594341789","https://openalex.org/W1622676895","https://openalex.org/W1780163389","https://openalex.org/W1944496791","https://openalex.org/W1959793601","https://openalex.org/W1964964840","https://openalex.org/W2029480990","https://openalex.org/W2064240901","https://openalex.org/W2068643490","https://openalex.org/W2106052345","https://openalex.org/W2107726111","https://openalex.org/W2112261373","https://openalex.org/W2120263304","https://openalex.org/W2120499560","https://openalex.org/W2138490239","https://openalex.org/W2140917889","https://openalex.org/W2156908840","https://openalex.org/W2158076035","https://openalex.org/W2166134957","https://openalex.org/W2485513297","https://openalex.org/W2765302304","https://openalex.org/W2768021657","https://openalex.org/W2946661738","https://openalex.org/W2950932906","https://openalex.org/W2968584812","https://openalex.org/W2985815252","https://openalex.org/W2997457453","https://openalex.org/W2998034590","https://openalex.org/W3087349278","https://openalex.org/W3125435015","https://openalex.org/W3125503432","https://openalex.org/W3129190273","https://openalex.org/W3158809163","https://openalex.org/W3159521583","https://openalex.org/W3159875166","https://openalex.org/W3175835345","https://openalex.org/W3179326041","https://openalex.org/W3181486316","https://openalex.org/W3208550483","https://openalex.org/W3212614390","https://openalex.org/W3215210492","https://openalex.org/W4210910856","https://openalex.org/W4220807181","https://openalex.org/W4224217753","https://openalex.org/W4225140907","https://openalex.org/W4225275015","https://openalex.org/W4236670843","https://openalex.org/W4237883889","https://openalex.org/W4255949318","https://openalex.org/W4281850851","https://openalex.org/W4283320336","https://openalex.org/W4283804236","https://openalex.org/W4285011703","https://openalex.org/W4290038691","https://openalex.org/W4300003860","https://openalex.org/W4308933789","https://openalex.org/W4366548317","https://openalex.org/W4377102997","https://openalex.org/W4380879418","https://openalex.org/W4381952287","https://openalex.org/W4382203079","https://openalex.org/W4385767800","https://openalex.org/W4388113448","https://openalex.org/W6600756316","https://openalex.org/W6602847582","https://openalex.org/W6607606998","https://openalex.org/W6814003322","https://openalex.org/W6828894009"],"related_works":["https://openalex.org/W4242666684","https://openalex.org/W2398903058","https://openalex.org/W3125179415","https://openalex.org/W3212422242","https://openalex.org/W1861863552","https://openalex.org/W1754774050","https://openalex.org/W4206179596","https://openalex.org/W3097398805","https://openalex.org/W2510368149","https://openalex.org/W4323653248"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":9},{"year":2025,"cited_by_count":16},{"year":2024,"cited_by_count":1}],"updated_date":"2026-07-23T08:03:31.855105","created_date":"2025-10-10T00:00:00"}
