{"id":"https://openalex.org/W4391506038","doi":"https://doi.org/10.48550/arxiv.2402.00515","title":"Developing A Multi-Agent and Self-Adaptive Framework with Deep Reinforcement Learning for Dynamic Portfolio Risk Management","display_name":"Developing A Multi-Agent and Self-Adaptive Framework with Deep Reinforcement Learning for Dynamic Portfolio Risk Management","publication_year":2024,"publication_date":"2024-02-01","ids":{"openalex":"https://openalex.org/W4391506038","doi":"https://doi.org/10.48550/arxiv.2402.00515"},"language":"en","primary_location":{"id":"pmh:oai:arXiv.org:2402.00515","is_oa":true,"landing_page_url":"http://arxiv.org/abs/2402.00515","pdf_url":"https://arxiv.org/pdf/2402.00515","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-nc-sa","license_id":"https://openalex.org/licenses/cc-by-nc-sa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"text"},"type":"preprint","indexed_in":["arxiv","datacite"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/2402.00515","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5030336185","display_name":"Zhenglong Li","orcid":"https://orcid.org/0000-0003-1737-735X"},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Li, Zhenglong","raw_affiliation_strings":[],"affiliations":[]},{"author_position":"middle","author":{"id":"https://openalex.org/A5072659694","display_name":"Vincent H. Tam","orcid":"https://orcid.org/0000-0001-7071-5376"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Tam, Vincent","raw_affiliation_strings":[],"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5108898627","display_name":"Kwan L. Yeung","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Yeung, Kwan L.","raw_affiliation_strings":[],"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5030336185"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":true,"cited_by_count":1,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.8119999766349792,"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":0.8119999766349792,"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/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.761900007724762,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"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/T12394","display_name":"Insurance and Financial Risk Management","score":0.7236999869346619,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"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/reinforcement-learning","display_name":"Reinforcement learning","score":0.7080333828926086},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.5342252850532532},{"id":"https://openalex.org/keywords/reinforcement","display_name":"Reinforcement","score":0.5129132270812988},{"id":"https://openalex.org/keywords/risk-management","display_name":"Risk management","score":0.47788918018341064},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.4232605993747711},{"id":"https://openalex.org/keywords/risk-analysis","display_name":"Risk analysis (engineering)","score":0.3513167202472687},{"id":"https://openalex.org/keywords/business","display_name":"Business","score":0.291526198387146},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.2819406986236572},{"id":"https://openalex.org/keywords/psychology","display_name":"Psychology","score":0.13030776381492615},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.07691177725791931},{"id":"https://openalex.org/keywords/social-psychology","display_name":"Social psychology","score":0.07437118887901306}],"concepts":[{"id":"https://openalex.org/C97541855","wikidata":"https://www.wikidata.org/wiki/Q830687","display_name":"Reinforcement learning","level":2,"score":0.7080333828926086},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.5342252850532532},{"id":"https://openalex.org/C67203356","wikidata":"https://www.wikidata.org/wiki/Q1321905","display_name":"Reinforcement","level":2,"score":0.5129132270812988},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.47788918018341064},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4232605993747711},{"id":"https://openalex.org/C112930515","wikidata":"https://www.wikidata.org/wiki/Q4389547","display_name":"Risk analysis (engineering)","level":1,"score":0.3513167202472687},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.291526198387146},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.2819406986236572},{"id":"https://openalex.org/C15744967","wikidata":"https://www.wikidata.org/wiki/Q9418","display_name":"Psychology","level":0,"score":0.13030776381492615},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.07691177725791931},{"id":"https://openalex.org/C77805123","wikidata":"https://www.wikidata.org/wiki/Q161272","display_name":"Social psychology","level":1,"score":0.07437118887901306}],"mesh":[],"locations_count":3,"locations":[{"id":"pmh:oai:arXiv.org:2402.00515","is_oa":true,"landing_page_url":"http://arxiv.org/abs/2402.00515","pdf_url":"https://arxiv.org/pdf/2402.00515","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-nc-sa","license_id":"https://openalex.org/licenses/cc-by-nc-sa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"text"},{"id":"pmh:oai:RePEc:arx:papers:2402.00515","is_oa":false,"landing_page_url":null,"pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"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":"preprint"},{"id":"doi:10.48550/arxiv.2402.00515","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.2402.00515","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":null,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:2402.00515","is_oa":true,"landing_page_url":"http://arxiv.org/abs/2402.00515","pdf_url":"https://arxiv.org/pdf/2402.00515","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-nc-sa","license_id":"https://openalex.org/licenses/cc-by-nc-sa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"text"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W4391506038.pdf"},"referenced_works_count":0,"referenced_works":[],"related_works":["https://openalex.org/W1923764247","https://openalex.org/W4252059530","https://openalex.org/W2114208415","https://openalex.org/W2369233745","https://openalex.org/W2125534874","https://openalex.org/W2611614597","https://openalex.org/W2619501344","https://openalex.org/W4240788009","https://openalex.org/W4386500624","https://openalex.org/W2246096879"],"abstract_inverted_index":{"Deep":[0],"or":[1,57,91],"reinforcement":[2,58,110],"learning":[3,59,111],"(RL)":[4,112],"approaches":[5,204],"have":[6],"been":[7],"adapted":[8],"as":[9,145,165],"reactive":[10,120],"agents":[11,121],"to":[12,38,122,155,172,175],"quickly":[13,173],"learn":[14],"and":[15,47,97,119,124,134,142,218],"respond":[16],"with":[17],"new":[18],"investment":[19,74],"strategies":[20],"for":[21,168,239],"portfolio":[22,75,132],"management":[23],"under":[24,81],"the":[25,39,48,67,71,82,89,101,127,130,146,152,161,176,186,196,206,211,223],"highly":[26],"turbulent":[27],"financial":[28,45,53],"market":[29,86,147,163,178],"environments":[30],"in":[31,51,65,88,105],"recent":[32],"years.":[33,226],"In":[34],"many":[35,201,236],"cases,":[36],"due":[37],"very":[40,140],"complex":[41],"correlations":[42],"among":[43],"various":[44,85],"sectors,":[46],"fluctuating":[49],"trends":[50,164],"different":[52],"markets,":[54],"a":[55,95,107,139],"deep":[56],"based":[60,194],"agent":[61,144],"can":[62],"be":[63],"biased":[64],"maximising":[66],"total":[68],"returns":[69,133],"of":[70,84,189,210],"newly":[72],"formulated":[73],"while":[76],"neglecting":[77],"its":[78],"potential":[79,136,187],"risks":[80],"turmoil":[83],"conditions":[87],"global":[90],"regional":[92],"sectors.":[93],"Accordingly,":[94],"multi-agent":[96,109,169,197],"self-adaptive":[98],"framework":[99,154,193,232],"namely":[100],"MASA":[102,153,192,231],"is":[103,114,149],"proposed":[104,191,230],"which":[106],"sophisticated":[108],"approach":[113,171,199],"adopted":[115],"through":[116],"two":[117],"cooperating":[118],"carefully":[123],"dynamically":[125],"balance":[126],"trade-off":[128],"between":[129],"overall":[131],"their":[135],"risks.":[137],"Besides,":[138],"flexible":[141],"proactive":[143],"observer":[148],"integrated":[150],"into":[151],"provide":[156],"some":[157],"additional":[158],"information":[159],"on":[160,195,205,235],"estimated":[162],"valuable":[166],"feedbacks":[167],"RL":[170,198],"adapt":[174],"ever-changing":[177],"conditions.":[179],"The":[180],"obtained":[181],"empirical":[182],"results":[183],"clearly":[184],"reveal":[185],"strengths":[188],"our":[190,229],"against":[200],"well-known":[202],"RL-based":[203],"challenging":[207],"data":[208],"sets":[209],"CSI":[212],"300,":[213],"Dow":[214],"Jones":[215],"Industrial":[216],"Average":[217],"S&amp;P":[219],"500":[220],"indexes":[221],"over":[222],"past":[224],"10":[225],"More":[227],"importantly,":[228],"shed":[233],"lights":[234],"possible":[237],"directions":[238],"future":[240],"investigation.":[241]},"counts_by_year":[{"year":2025,"cited_by_count":1}],"updated_date":"2026-04-05T17:49:38.594831","created_date":"2024-02-03T00:00:00"}
