{"id":"https://openalex.org/W3147729530","doi":"https://doi.org/10.1109/cist49399.2021.9357266","title":"Deep Deterministic Policy Gradient for Portfolio Management","display_name":"Deep Deterministic Policy Gradient for Portfolio Management","publication_year":2020,"publication_date":"2020-06-05","ids":{"openalex":"https://openalex.org/W3147729530","doi":"https://doi.org/10.1109/cist49399.2021.9357266","mag":"3147729530"},"language":"en","primary_location":{"id":"doi:10.1109/cist49399.2021.9357266","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cist49399.2021.9357266","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2020 6th IEEE Congress on Information Science and Technology (CiSt)","raw_type":"proceedings-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/A5036346650","display_name":"Firdaous Khemlichi","orcid":null},"institutions":[{"id":"https://openalex.org/I81605866","display_name":"Sidi Mohamed Ben Abdellah University","ror":"https://ror.org/04efg9a07","country_code":"MA","type":"education","lineage":["https://openalex.org/I81605866"]}],"countries":["MA"],"is_corresponding":true,"raw_author_name":"Firdaous Khemlichi","raw_affiliation_strings":["SIGER Laboratory, Sidi Mohamed Ben Abdellah University, Fez, Morocco"],"affiliations":[{"raw_affiliation_string":"SIGER Laboratory, Sidi Mohamed Ben Abdellah University, Fez, Morocco","institution_ids":["https://openalex.org/I81605866"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5054600849","display_name":"Hiba Chougrad","orcid":"https://orcid.org/0000-0002-6851-3342"},"institutions":[{"id":"https://openalex.org/I81605866","display_name":"Sidi Mohamed Ben Abdellah University","ror":"https://ror.org/04efg9a07","country_code":"MA","type":"education","lineage":["https://openalex.org/I81605866"]}],"countries":["MA"],"is_corresponding":false,"raw_author_name":"Hiba Chougrad","raw_affiliation_strings":["SIGER Laboratory, Sidi Mohamed Ben Abdellah University, Fez, Morocco"],"affiliations":[{"raw_affiliation_string":"SIGER Laboratory, Sidi Mohamed Ben Abdellah University, Fez, Morocco","institution_ids":["https://openalex.org/I81605866"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5025179075","display_name":"Youness Idrissi Khamlichi","orcid":null},"institutions":[{"id":"https://openalex.org/I81605866","display_name":"Sidi Mohamed Ben Abdellah University","ror":"https://ror.org/04efg9a07","country_code":"MA","type":"education","lineage":["https://openalex.org/I81605866"]}],"countries":["MA"],"is_corresponding":false,"raw_author_name":"Youness Idrissi Khamlichi","raw_affiliation_strings":["SIGER Laboratory, Sidi Mohamed Ben Abdellah University, Fez, Morocco"],"affiliations":[{"raw_affiliation_string":"SIGER Laboratory, Sidi Mohamed Ben Abdellah University, Fez, Morocco","institution_ids":["https://openalex.org/I81605866"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5045114691","display_name":"Abdessamad El Boushaki","orcid":null},"institutions":[{"id":"https://openalex.org/I81605866","display_name":"Sidi Mohamed Ben Abdellah University","ror":"https://ror.org/04efg9a07","country_code":"MA","type":"education","lineage":["https://openalex.org/I81605866"]}],"countries":["MA"],"is_corresponding":false,"raw_author_name":"Abdessamad el Boushaki","raw_affiliation_strings":["SIGER Laboratory, Sidi Mohamed Ben Abdellah University, Fez, Morocco"],"affiliations":[{"raw_affiliation_string":"SIGER Laboratory, Sidi Mohamed Ben Abdellah University, Fez, Morocco","institution_ids":["https://openalex.org/I81605866"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5063240324","display_name":"Safae Elhaj Ben Ali","orcid":"https://orcid.org/0000-0002-9496-7057"},"institutions":[{"id":"https://openalex.org/I81605866","display_name":"Sidi Mohamed Ben Abdellah University","ror":"https://ror.org/04efg9a07","country_code":"MA","type":"education","lineage":["https://openalex.org/I81605866"]}],"countries":["MA"],"is_corresponding":false,"raw_author_name":"Safae Elhaj Ben Ali","raw_affiliation_strings":["SIGER Laboratory, Sidi Mohamed Ben Abdellah University, Fez, Morocco"],"affiliations":[{"raw_affiliation_string":"SIGER Laboratory, Sidi Mohamed Ben Abdellah University, Fez, Morocco","institution_ids":["https://openalex.org/I81605866"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":5,"corresponding_author_ids":["https://openalex.org/A5036346650"],"corresponding_institution_ids":["https://openalex.org/I81605866"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":5,"citation_normalized_percentile":{"value":0.27073309,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":91,"max":99},"biblio":{"volume":null,"issue":null,"first_page":"424","last_page":"429"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9968000054359436,"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":0.9968000054359436,"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":0.9904999732971191,"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/T11413","display_name":"Risk and Portfolio Optimization","score":0.9818999767303467,"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/reinforcement-learning","display_name":"Reinforcement learning","score":0.8351420164108276},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.6885451078414917},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.6175747513771057},{"id":"https://openalex.org/keywords/project-portfolio-management","display_name":"Project portfolio management","score":0.49819231033325195},{"id":"https://openalex.org/keywords/stochastic-control","display_name":"Stochastic control","score":0.49387627840042114},{"id":"https://openalex.org/keywords/task","display_name":"Task (project management)","score":0.4915221631526947},{"id":"https://openalex.org/keywords/investment-strategy","display_name":"Investment strategy","score":0.48567378520965576},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.4675397276878357},{"id":"https://openalex.org/keywords/financial-market","display_name":"Financial market","score":0.45854806900024414},{"id":"https://openalex.org/keywords/trading-strategy","display_name":"Trading strategy","score":0.4379648268222809},{"id":"https://openalex.org/keywords/stock","display_name":"Stock (firearms)","score":0.43625402450561523},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.4238005578517914},{"id":"https://openalex.org/keywords/expected-return","display_name":"Expected return","score":0.4220551550388336},{"id":"https://openalex.org/keywords/stock-market","display_name":"Stock market","score":0.4170558452606201},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.4058005213737488},{"id":"https://openalex.org/keywords/operations-research","display_name":"Operations research","score":0.3764417767524719},{"id":"https://openalex.org/keywords/optimal-control","display_name":"Optimal control","score":0.3523012399673462},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.24860689043998718},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.20236143469810486},{"id":"https://openalex.org/keywords/context","display_name":"Context (archaeology)","score":0.12485292553901672},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.1024191677570343},{"id":"https://openalex.org/keywords/project-management","display_name":"Project management","score":0.09506890177726746}],"concepts":[{"id":"https://openalex.org/C97541855","wikidata":"https://www.wikidata.org/wiki/Q830687","display_name":"Reinforcement learning","level":2,"score":0.8351420164108276},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.6885451078414917},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6175747513771057},{"id":"https://openalex.org/C74510933","wikidata":"https://www.wikidata.org/wiki/Q1936145","display_name":"Project portfolio management","level":3,"score":0.49819231033325195},{"id":"https://openalex.org/C170131372","wikidata":"https://www.wikidata.org/wiki/Q7617811","display_name":"Stochastic control","level":3,"score":0.49387627840042114},{"id":"https://openalex.org/C2780451532","wikidata":"https://www.wikidata.org/wiki/Q759676","display_name":"Task (project management)","level":2,"score":0.4915221631526947},{"id":"https://openalex.org/C103144560","wikidata":"https://www.wikidata.org/wiki/Q2670999","display_name":"Investment strategy","level":3,"score":0.48567378520965576},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.4675397276878357},{"id":"https://openalex.org/C19244329","wikidata":"https://www.wikidata.org/wiki/Q208697","display_name":"Financial market","level":2,"score":0.45854806900024414},{"id":"https://openalex.org/C131562839","wikidata":"https://www.wikidata.org/wiki/Q1574928","display_name":"Trading strategy","level":2,"score":0.4379648268222809},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.43625402450561523},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.4238005578517914},{"id":"https://openalex.org/C154611145","wikidata":"https://www.wikidata.org/wiki/Q4331879","display_name":"Expected return","level":3,"score":0.4220551550388336},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.4170558452606201},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.4058005213737488},{"id":"https://openalex.org/C42475967","wikidata":"https://www.wikidata.org/wiki/Q194292","display_name":"Operations research","level":1,"score":0.3764417767524719},{"id":"https://openalex.org/C91575142","wikidata":"https://www.wikidata.org/wiki/Q1971426","display_name":"Optimal control","level":2,"score":0.3523012399673462},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.24860689043998718},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.20236143469810486},{"id":"https://openalex.org/C2779343474","wikidata":"https://www.wikidata.org/wiki/Q3109175","display_name":"Context (archaeology)","level":2,"score":0.12485292553901672},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.1024191677570343},{"id":"https://openalex.org/C15952604","wikidata":"https://www.wikidata.org/wiki/Q179012","display_name":"Project management","level":2,"score":0.09506890177726746},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C78519656","wikidata":"https://www.wikidata.org/wiki/Q101333","display_name":"Mechanical engineering","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/cist49399.2021.9357266","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cist49399.2021.9357266","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2020 6th IEEE Congress on Information Science and Technology (CiSt)","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":33,"referenced_works":["https://openalex.org/W46130386","https://openalex.org/W1550299892","https://openalex.org/W1757796397","https://openalex.org/W1977051850","https://openalex.org/W2001770658","https://openalex.org/W2017957151","https://openalex.org/W2108734173","https://openalex.org/W2112663282","https://openalex.org/W2130105540","https://openalex.org/W2130325614","https://openalex.org/W2141559645","https://openalex.org/W2143612262","https://openalex.org/W2169015875","https://openalex.org/W2169209873","https://openalex.org/W2173248099","https://openalex.org/W2185958032","https://openalex.org/W2257979135","https://openalex.org/W2546571074","https://openalex.org/W2601066903","https://openalex.org/W2774977638","https://openalex.org/W2785770483","https://openalex.org/W2963864421","https://openalex.org/W2964070888","https://openalex.org/W2965771985","https://openalex.org/W2966228744","https://openalex.org/W3011120880","https://openalex.org/W4214717370","https://openalex.org/W4248510338","https://openalex.org/W4298857966","https://openalex.org/W6601865881","https://openalex.org/W6676172287","https://openalex.org/W6685331716","https://openalex.org/W6735544697"],"related_works":["https://openalex.org/W2510460543","https://openalex.org/W2936127455","https://openalex.org/W2147235923","https://openalex.org/W4200151087","https://openalex.org/W3154480698","https://openalex.org/W3214343406","https://openalex.org/W2482946008","https://openalex.org/W3183198676","https://openalex.org/W3121368516","https://openalex.org/W2054332379"],"abstract_inverted_index":{"Portfolio":[0],"management":[1],"is":[2,18,153,158],"a":[3,19,29,126,141,174],"financial":[4,61],"problem":[5,71,132],"that":[6,79,170],"has":[7],"been":[8],"the":[9,15,60,91,98,112,120,131,137,147,171,180,189],"subject":[10],"of":[11,31,100,114,123,133,177,182,191],"much":[12],"research":[13],"over":[14],"years.":[16],"It":[17],"planning":[20],"task":[21,113],"where":[22],"an":[23,49,53,76,154],"agent":[24],"constantly":[25],"redistributes":[26],"resources":[27],"across":[28],"set":[30],"assets":[32],"in":[33,52,72,125,195],"order":[34,73],"to":[35,47,74,83,145],"achieve":[36],"investment":[37],"objectives":[38],"and":[39,57,118,157,185,188],"thereby":[40],"maximize":[41],"return.":[42],"However,":[43],"it":[44],"remains":[45],"difficult":[46],"obtain":[48,75],"optimal":[50,77,121],"strategy":[51,78,181,190],"environment":[54],"as":[55,59],"complex":[56],"dynamic":[58],"market.":[62],"Our":[63],"article":[64],"focuses":[65],"on":[66],"solving":[67],"this":[68],"stochastic":[69],"control":[70],"would":[80],"allow":[81],"us":[82],"make":[84],"profitable":[85],"decisions":[86],"by":[87,110],"interacting":[88],"directly":[89],"with":[90,136,162],"environment.":[92],"To":[93],"do":[94],"this,":[95],"we":[96,143],"explore":[97],"power":[99],"deep":[101],"reinforcement":[102],"learning":[103],"which":[104,152],"differs":[105],"from":[106],"traditional":[107],"Machine":[108,134],"Learning":[109,135],"combining":[111],"predicting":[115],"stock":[116],"behavior":[117],"analyzing":[119],"course":[122],"action":[124,164],"single":[127],"unit,":[128],"thus":[129],"aligning":[130],"investor's":[138],"objectives.":[139],"As":[140],"method,":[142],"propose":[144],"use":[146],"Deep":[148],"Deterministic":[149],"Policy":[150],"Gradient":[151],"off-policy":[155],"algorithm":[156],"used":[159],"for":[160],"environments":[161],"continuous":[163],"spaces.":[165],"The":[166],"obtained":[167],"results":[168],"demonstrate":[169],"model":[172],"achieves":[173],"higher":[175],"rate":[176],"return":[178],"than":[179],"\u201cUniform":[183],"Buy":[184],"Hold\u201d":[186],"stocks":[187],"\u201cBuy":[192],"Best":[193],"Stock":[194],"last":[196],"month\u201d.":[197]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":3}],"updated_date":"2026-01-13T01:12:25.745995","created_date":"2025-10-10T00:00:00"}
