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Combining Reinforcement Learning and Inverse Reinforcement Learning for Asset Allocation Recommendations

2022-01-06 00:08:17
Igor Halperin, Jiayu Liu, Xiao Zhang
arXiv_AI
     
Abstract

We suggest a simple practical method to combine the human and artificial intelligence to both learn best investment practices of fund managers, and provide recommendations to improve them. Our approach is based on a combination of Inverse Reinforcement Learning (IRL) and RL. First, the IRL component learns the intent of fund managers as suggested by their trading history, and recovers their implied reward function. At the second step, this reward function is used by a direct RL algorithm to optimize asset allocation decisions. We show that our method is able to improve over the performance of individual fund managers.

Abstract (translated)

URL

https://arxiv.org/abs/2201.01874

PDF

https://arxiv.org/pdf/2201.01874.pdf

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