# WaveCorr: Correlation-savvy Deep Reinforcement Learning for Portfolio Management

arXiv: https://arxiv.org/abs/2109.07005 · HTML: https://mlsanity.com/paper/2109.07005/

## Key facts

- No citing papers in the map yet (data through 14 Oct 2026).
- Builds on 8 of its 17 references that are in the map.
- First posted on arXiv 14 Sep 2021.

## Builds on (most cited first, 8 of 8)

- [Deep Residual Learning for Image Recognition](https://mlsanity.com/paper/1512.03385/) (2015)
- [WaveNet: A Generative Model for Raw Audio](https://mlsanity.com/paper/1609.03499/) (2016)
- [An Empirical Evaluation of Generic Convolutional and Recurrent Networks for Sequence Modeling](https://mlsanity.com/paper/1803.01271/) (2018)
- [Deep Sets](https://mlsanity.com/paper/1703.06114/) (2017)
- [A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem](https://mlsanity.com/paper/1706.10059/) (2017)
- [Cost-Sensitive Portfolio Selection via Deep Reinforcement Learning](https://mlsanity.com/paper/2003.03051/) (2020)
- [Permutation Invariant Policy Optimization for Mean-Field Multi-Agent Reinforcement Learning: A Principled Approach](https://mlsanity.com/paper/2105.08268/) (2021)
- [Efficient Reinforcement Learning in Resource Allocation Problems Through Permutation Invariant Multi-task Learning](https://mlsanity.com/paper/2102.09361/) (2021)

## Abstract (arXiv)

The problem of portfolio management represents an important and challenging class of dynamic decision making problems, where rebalancing decisions need to be made over time with the consideration of many factors such as investors preferences, trading environments, and market conditions. In this paper, we present a new portfolio policy network architecture for deep reinforcement learning (DRL)that can exploit more effectively cross-asset dependency information and achieve better performance than state-of-the-art architectures. In particular, we introduce a new property, referred to as textitasset permutation invariance, for portfolio policy networks that exploit multi-asset time series data, and design the first portfolio policy network, named WaveCorr, that preserves this invariance property when treating asset correlation information. At the core of our design is an innovative permutation invariant correlation processing layer. An extensive set of experiments are conducted using data from both Canadian (TSX) and American stock markets (S&P 500), and WaveCorr consistently outperforms other architectures with an impressive 3%-25% absolute improvement in terms of average annual return, and up to more than 200% relative improvement in average Sharpe ratio. We also measured an improvement of a factor of up to 5 in the stability of performance under random choices of initial asset ordering and weights. The stability of the network has been found as particularly valuable by our industrial partner.