mlsanityData to 7 Oct 2026

A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem

arXiv 1706.10059 ↗First posted 30 Jun 2017q-fin.CP cs.AI q-fin.PMcited by 123

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Abstract (arXiv)

Financial portfolio management is the process of constant redistribution of a fund into different financial products. This paper presents a financial-model-free Reinforcement Learning framework to provide a deep machine learning solution to the portfolio management problem. The framework consists of the Ensemble of Identical Independent Evaluators (EIIE) topology, a Portfolio-Vector Memory (PVM), an Online Stochastic Batch Learning (OSBL) scheme, and a fully exploiting and explicit reward function. This framework is realized in three instants in this work with a Convolutional Neural Network (CNN), a basic Recurrent Neural Network (RNN), and a Long Short-Term Memory (LSTM). They are, along with a number of recently reviewed or published portfolio-selection strategies, examined in three back-test experiments with a trading period of 30 minutes in a cryptocurrency market. Cryptocurrencies are electronic and decentralized alternatives to government-issued money, with Bitcoin as the best-known example of a cryptocurrency. All three instances of the framework monopolize the top three positions in all experiments, outdistancing other compared trading algorithms. Although with a high commission rate of 0.25% in the backtests, the framework is able to achieve at least 4-fold returns in 50 days.

Key facts. Cited by 123 papers in the map (data through 7 Oct 2026). First posted on arXiv 30 Jun 2017.

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Citing papers per year: 2021: 15; 2022: 17; 2023: 15; 2024: 22; 2025: 29; 2026: 25.

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  1. 2021Recent Advances in Reinforcement Learning in Financecited by 102
  2. 2024Large Language Model Agent in Financial Trading: A Surveycited by 60
  3. 2021FinRL: Deep Reinforcement Learning Framework to Automate Trading in Quantitative Financecited by 57
  4. 2021Reinforcement Learning for Quantitative Tradingcited by 24
  5. 2021Deep Reinforcement Learning Versus Evolution Strategies: A Comparative Surveycited by 23
  6. 2021Bayesian Bellman Operatorscited by 16
  7. 2021DeepScalper: A Risk-Aware Reinforcement Learning Framework to Capture Fleeting Intraday Trading Opportunitiescited by 14
  8. 2021Deep Graph Convolutional Reinforcement Learning for Financial Portfolio Management -- DeepPocketcited by 13
  9. 2024The Evolution of Reinforcement Learning in Quantitative Finance: A Surveycited by 11
  10. 2024TradExpert: Revolutionizing Trading with Mixture of Expert LLMscited by 11
  11. 2024A Review of Reinforcement Learning in Financial Applicationscited by 11
  12. 2021MSPM: A Modularized and Scalable Multi-Agent Reinforcement Learning-based System for Financial Portfolio Managementcited by 10
38 more
  1. 2022MetaTrader: An Reinforcement Learning Approach Integrating Diverse Policies for Portfolio Optimizationcited by 10
  2. 2026Prediction Arena: Benchmarking AI Models on Real-World Prediction Marketscited by 10
  3. 2022Deep Reinforcement Learning Approach for Trading Automation in The Stock Marketcited by 9
  4. 2025From Deep Learning to LLMs: A survey of AI in Quantitative Investmentcited by 9
  5. 2022A policy gradient approach for Finite Horizon Constrained Markov Decision Processescited by 8
  6. 2023Reinforcement Learning with Maskable Stock Representation for Portfolio Management in Customizable Stock Poolscited by 7
  7. 2025LLM-Enhanced Black-Litterman Portfolio Optimizationcited by 7
  8. 2023No Prior Mask: Eliminate Redundant Action for Deep Reinforcement Learningcited by 6
  9. 2024Combining Transformer based Deep Reinforcement Learning with Black-Litterman Model for Portfolio Optimizationcited by 6
  10. 2023PRUDEX-Compass: Towards Systematic Evaluation of Reinforcement Learning in Financial Marketscited by 5
  11. 2024Developing A Multi-Agent and Self-Adaptive Framework with Deep Reinforcement Learning for Dynamic Portfolio Risk Managementcited by 5
  12. 2025Dynamic data generation and dynamic portfolio selection: an application of a score-based diffusion modelcited by 5
  13. 2023Auto.gov: Learning-based Governance for Decentralized Finance (DeFi)cited by 4
  14. 2024Advancing Investment Frontiers: Industry-grade Deep Reinforcement Learning for Portfolio Optimizationcited by 4
  15. 2024Deep Reinforcement Learning and Mean-Variance Strategies for Responsible Portfolio Optimizationcited by 4
  16. 2025FinWorld: An All-in-One Open-Source Platform for End-to-End Financial AI Research and Deploymentcited by 4
  17. 2026Can Blindfolded LLMs Still Trade? An Anonymization-First Framework for Portfolio Optimizationcited by 4
  18. 2021Efficient Reinforcement Learning in Resource Allocation Problems Through Permutation Invariant Multi-task Learningcited by 3
  19. 2022Sales Time Series Analytics Using Deep Q-Learningcited by 3
  20. 2022A Prescriptive Dirichlet Power Allocation Policy with Deep Reinforcement Learningcited by 3
  21. 2022Asset Allocation: From Markowitz to Deep Reinforcement Learningcited by 3
  22. 2024What Teaches Robots to Walk, Teaches Them to Trade too -- Regime Adaptive Execution using Informed Data and LLMscited by 3
  23. 2021Theoretically Motivated Data Augmentation and Regularization for Portfolio Constructioncited by 2
  24. 2021High-Dimensional Stock Portfolio Trading with Deep Reinforcement Learningcited by 2
  25. 2022Multi-Objective reward generalization: Improving performance of Deep Reinforcement Learning for applications in single-asset tradingcited by 2
  26. 2022Balancing Profit, Risk, and Sustainability for Portfolio Managementcited by 2
  27. 2023Vision-based DRL Autonomous Driving Agent with Sim2Real Transfercited by 2
  28. 2024DeepClair: Utilizing Market Forecasts for Effective Portfolio Selectioncited by 2
  29. 2024Reinforcement Learning applied to Insurance Portfolio Pursuitcited by 2
  30. 2024Interpretable and Efficient Data-driven Discovery and Control of Distributed Systemscited by 2
  31. 2025A novel multi-agent dynamic portfolio optimization learning system based on hierarchical deep reinforcement learningcited by 2
  32. 2025Deep Reinforcement Learning for Investor-Specific Portfolio Optimization: A Volatility-Guided Asset Selection Approachcited by 2
  33. 2025HARLF: Hierarchical Reinforcement Learning and Lightweight LLM-Driven Sentiment Integration for Financial Portfolio Optimizationcited by 2
  34. 2025FinXplore: An Adaptive Deep Reinforcement Learning Framework for Balancing and Discovering Investment Opportunitiescited by 2
  35. 2025Crisis-Resilient Portfolio Management via Graph-based Spatio-Temporal Learningcited by 2
  36. 2026A Three-Phase Foundation Model for Tax-Aware Personalized Portfolio Managementcited by 2
  37. 2021Adaptive learning for financial markets mixing model-based and model-free RL for volatility targetingcited by 1
  38. 2022Analytics of Business Time Series Using Machine Learning and Bayesian Inferencecited by 1

50 most cited of 123 All 123 (JSON)