AlpacaTech data scientist’s research paper is published in the industry academic journal The Journal of Financial Data Science

AlpacaTech Co., Ltd. is pleased to inform that our colleague Han Seungwoo’s research paper is now published in the industry academic journal The Journal of Financial Data Science.

Risk budgeting portfolio optimization is an asset allocation method by controlling the risk contribution of each asset, and this method requires one important parameter, a risk budget vector. In this article, we use a reinforcement learning agent to dynamically set the optimal risk budget vector such that it increases our target performance. The experiment result shows that the agent can improve the target performance metric with statistical significance in certain cases.

Risk Budgeting Portfolio Optimization with Deep Reinforcement Learning

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