{"id":"https://openalex.org/W3174803387","doi":"https://doi.org/10.1145/3449639.3459386","title":"Evolutionary meta reinforcement learning for portfolio optimization","display_name":"Evolutionary meta reinforcement learning for portfolio optimization","publication_year":2021,"publication_date":"2021-06-21","ids":{"openalex":"https://openalex.org/W3174803387","doi":"https://doi.org/10.1145/3449639.3459386","mag":"3174803387"},"language":"en","primary_location":{"id":"doi:10.1145/3449639.3459386","is_oa":false,"landing_page_url":"https://doi.org/10.1145/3449639.3459386","pdf_url":null,"source":{"id":"https://openalex.org/S4363608932","display_name":"Proceedings of the Genetic and Evolutionary Computation Conference","issn_l":null,"issn":null,"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":"conference"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the Genetic and Evolutionary Computation Conference","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/A5032867812","display_name":"Myoung Hoon Ha","orcid":null},"institutions":[{"id":"https://openalex.org/I157485424","display_name":"Korea Advanced Institute of Science and Technology","ror":"https://ror.org/05apxxy63","country_code":"KR","type":"education","lineage":["https://openalex.org/I157485424"]}],"countries":["KR"],"is_corresponding":true,"raw_author_name":"Myoung Hoon Ha","raw_affiliation_strings":["Korea Advanced Institute of Science and Technology, Daejoen, Korea"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Korea Advanced Institute of Science and Technology, Daejoen, Korea","institution_ids":["https://openalex.org/I157485424"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5001262007","display_name":"Seung-geun Chi","orcid":null},"institutions":[{"id":"https://openalex.org/I139264467","display_name":"Seoul National University","ror":"https://ror.org/04h9pn542","country_code":"KR","type":"education","lineage":["https://openalex.org/I139264467"]}],"countries":["KR"],"is_corresponding":false,"raw_author_name":"Seung-geun Chi","raw_affiliation_strings":["Seoul National University, Seoul, Korea"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Seoul National University, Seoul, Korea","institution_ids":["https://openalex.org/I139264467"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5100600367","display_name":"Sangyeop Lee","orcid":"https://orcid.org/0009-0004-7645-6503"},"institutions":[{"id":"https://openalex.org/I2250650973","display_name":"Samsung (South Korea)","ror":"https://ror.org/04w3jy968","country_code":"KR","type":"company","lineage":["https://openalex.org/I2250650973"]}],"countries":["KR"],"is_corresponding":false,"raw_author_name":"Sangyeop Lee","raw_affiliation_strings":["Samsung Electronics, Gyeonggi-do, Korea"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Samsung Electronics, Gyeonggi-do, Korea","institution_ids":["https://openalex.org/I2250650973"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5049069584","display_name":"Yujin Cha","orcid":null},"institutions":[{"id":"https://openalex.org/I157485424","display_name":"Korea Advanced Institute of Science and Technology","ror":"https://ror.org/05apxxy63","country_code":"KR","type":"education","lineage":["https://openalex.org/I157485424"]}],"countries":["KR"],"is_corresponding":false,"raw_author_name":"Yujin Cha","raw_affiliation_strings":["Korea Advanced Institute of Science and Technology, Daejoen, Korea"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Korea Advanced Institute of Science and Technology, Daejoen, Korea","institution_ids":["https://openalex.org/I157485424"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5022911578","display_name":"Byung-Ro Moon","orcid":"https://orcid.org/0000-0002-4968-2159"},"institutions":[{"id":"https://openalex.org/I139264467","display_name":"Seoul National University","ror":"https://ror.org/04h9pn542","country_code":"KR","type":"education","lineage":["https://openalex.org/I139264467"]}],"countries":["KR"],"is_corresponding":false,"raw_author_name":"Moon Byung-Ro","raw_affiliation_strings":["Seoul National University, Seoul, Korea"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Seoul National University, Seoul, Korea","institution_ids":["https://openalex.org/I139264467"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":5,"corresponding_author_ids":["https://openalex.org/A5032867812"],"corresponding_institution_ids":["https://openalex.org/I157485424"],"apc_list":null,"apc_paid":null,"fwci":0.5075,"has_fulltext":false,"cited_by_count":6,"citation_normalized_percentile":{"value":0.65083179,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":97},"biblio":{"volume":null,"issue":null,"first_page":"964","last_page":"972"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T12761","display_name":"Data Stream Mining Techniques","score":0.9976999759674072,"subfield":{"id":"https://openalex.org/subfields/1702","display_name":"Artificial Intelligence"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},"topics":[{"id":"https://openalex.org/T12761","display_name":"Data Stream Mining Techniques","score":0.9976999759674072,"subfield":{"id":"https://openalex.org/subfields/1702","display_name":"Artificial Intelligence"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9972000122070312,"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":0.9901000261306763,"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":0.854897141456604},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.7324892282485962},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.6906242966651917},{"id":"https://openalex.org/keywords/markov-decision-process","display_name":"Markov decision process","score":0.6183292865753174},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.5674371719360352},{"id":"https://openalex.org/keywords/context","display_name":"Context (archaeology)","score":0.5337309241294861},{"id":"https://openalex.org/keywords/optimization-problem","display_name":"Optimization problem","score":0.455547958612442},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.450857549905777},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.4430849850177765},{"id":"https://openalex.org/keywords/financial-market","display_name":"Financial market","score":0.41917306184768677},{"id":"https://openalex.org/keywords/machine-learning","display_name":"Machine learning","score":0.3843514621257782},{"id":"https://openalex.org/keywords/markov-process","display_name":"Markov process","score":0.3773537874221802},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.13784760236740112},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.13415437936782837},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.0972895622253418}],"concepts":[{"id":"https://openalex.org/C97541855","wikidata":"https://www.wikidata.org/wiki/Q830687","display_name":"Reinforcement learning","level":2,"score":0.854897141456604},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.7324892282485962},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.6906242966651917},{"id":"https://openalex.org/C106189395","wikidata":"https://www.wikidata.org/wiki/Q176789","display_name":"Markov decision process","level":3,"score":0.6183292865753174},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.5674371719360352},{"id":"https://openalex.org/C2779343474","wikidata":"https://www.wikidata.org/wiki/Q3109175","display_name":"Context (archaeology)","level":2,"score":0.5337309241294861},{"id":"https://openalex.org/C137836250","wikidata":"https://www.wikidata.org/wiki/Q984063","display_name":"Optimization problem","level":2,"score":0.455547958612442},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.450857549905777},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.4430849850177765},{"id":"https://openalex.org/C19244329","wikidata":"https://www.wikidata.org/wiki/Q208697","display_name":"Financial market","level":2,"score":0.41917306184768677},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.3843514621257782},{"id":"https://openalex.org/C159886148","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov process","level":2,"score":0.3773537874221802},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.13784760236740112},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.13415437936782837},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.0972895622253418},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","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/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1145/3449639.3459386","is_oa":false,"landing_page_url":"https://doi.org/10.1145/3449639.3459386","pdf_url":null,"source":{"id":"https://openalex.org/S4363608932","display_name":"Proceedings of the Genetic and Evolutionary Computation Conference","issn_l":null,"issn":null,"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":"conference"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the Genetic and Evolutionary Computation Conference","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":37,"referenced_works":["https://openalex.org/W174135753","https://openalex.org/W648288944","https://openalex.org/W1497909677","https://openalex.org/W1504962226","https://openalex.org/W1587845729","https://openalex.org/W1618896827","https://openalex.org/W1757796397","https://openalex.org/W1977051850","https://openalex.org/W2027475699","https://openalex.org/W2056836848","https://openalex.org/W2058288579","https://openalex.org/W2073256825","https://openalex.org/W2115524942","https://openalex.org/W2143991132","https://openalex.org/W2145339207","https://openalex.org/W2155007355","https://openalex.org/W2168342951","https://openalex.org/W2169015875","https://openalex.org/W2173248099","https://openalex.org/W2484097898","https://openalex.org/W2553303224","https://openalex.org/W2604763608","https://openalex.org/W2624742027","https://openalex.org/W2736601468","https://openalex.org/W2762872434","https://openalex.org/W2778749116","https://openalex.org/W2781726626","https://openalex.org/W2795900505","https://openalex.org/W2808809512","https://openalex.org/W2903630557","https://openalex.org/W2952332632","https://openalex.org/W2962979969","https://openalex.org/W2963407617","https://openalex.org/W2970971581","https://openalex.org/W4240473981","https://openalex.org/W4248510338","https://openalex.org/W4248908364"],"related_works":["https://openalex.org/W1985560493","https://openalex.org/W2937181779","https://openalex.org/W1556532828","https://openalex.org/W4319083788","https://openalex.org/W1574991376","https://openalex.org/W1991138660","https://openalex.org/W3198564127","https://openalex.org/W2146763310","https://openalex.org/W3119377649","https://openalex.org/W4308702637"],"abstract_inverted_index":{"Portfolio":[0],"optimization":[1,75,107],"is":[2,8,50],"a":[3,35,91,110],"control":[4,112],"problem":[5,33,76,108],"whose":[6],"objective":[7],"to":[9,45,60,77,98,100,123,133,173,181],"find":[10],"the":[11,15,19,26,32,73,80,105,134,140,148,151,174,177],"optimal":[12],"strategy":[13],"for":[14,125],"process":[16,39,93],"of":[17,21,62,83,150],"selecting":[18],"proportions":[20],"assets":[22],"that":[23,53,129,145,169],"can":[24,130,146],"provide":[25,46],"maximum":[27],"return.":[28],"Conventional":[29],"approaches":[30],"formulate":[31],"as":[34,109,142],"single":[36],"Markov":[37],"decision":[38],"and":[40,103,167,179],"apply":[41],"reinforcement":[42,120],"learning":[43,121],"methods":[44],"solutions.":[47],"However,":[48],"it":[49,170],"well":[51,172],"known":[52],"financial":[54,84],"markets":[55],"involve":[56],"non-stationary":[57,81],"processes,":[58],"leading":[59],"violations":[61],"this":[63,69],"assumption":[64],"in":[65,153,176],"these":[66],"methods.":[67],"In":[68,86],"work,":[70],"we":[71,89,115,158],"reformulate":[72],"portfolio":[74,106],"deal":[78],"with":[79],"nature":[82],"markets.":[85],"our":[87,160],"approach,":[88],"divide":[90],"long-term":[92],"into":[94],"multiple":[95],"short-term":[96],"processes":[97],"adapt":[99,132],"context":[101],"changes":[102,175],"consider":[104],"multitask":[111],"problem.":[113],"Thereafter,":[114],"propose":[116],"an":[117,126],"evolutionary":[118],"meta":[119],"approach":[122,161],"search":[124],"initial":[127],"policy":[128],"quickly":[131],"upcoming":[135],"target":[136],"tasks.":[137],"We":[138],"model":[139],"policies":[141],"convolutional":[143],"networks":[144],"score":[147],"match":[149],"patterns":[152],"market":[154,178],"data":[155,166],"charts.":[156],"Finally,":[157],"test":[159],"using":[162],"real-world":[163],"cryptographic":[164],"currency":[165],"show":[168],"adapts":[171],"leads":[180],"better":[182],"profitability.":[183]},"counts_by_year":[{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":3}],"updated_date":"2026-05-05T08:41:31.759640","created_date":"2025-10-10T00:00:00"}
