Combining Reinforcement Learning and Inverse Reinforcement Learning for Asset Allocation Recommendations
On the map: Offline RL and imitation learning from data → Inverse reinforcement learning
Abstract (arXiv)
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.
Key facts. Cited by 3 papers in the map (data through 7 Oct 2026). Placed in Inverse reinforcement learning, one of 13 directions in Offline RL and imitation learning from data. Builds on 3 of its 8 references that are in the map. First posted on arXiv 6 Jan 2022.
Builds on
3 of 8 references.
Closest ancestors · 1
Same direction, newest first
- 2019Extrapolating Beyond Suboptimal Demonstrations via Inverse Reinforcement Learning from Observations12 Apr
Other references · 2
- 2018Behavioral Cloning from Observationcited by 482
- 2015Taming the Noise in Reinforcement Learning via Soft Updatescited by 125
Built on by
Citing papers per year: 2023: 1; 2024: 0; 2025: 1; 2026: 1.
3 papers.
- 2025Regret-Optimized Portfolio Enhancement through Deep Reinforcement Learning and Future Looking Rewardscited by 1
- 2023Data Cross-Segmentation for Improved Generalization in Reinforcement Learning Based Algorithmic Tradingcited by 0
- 2026Learning Stock Trading Policies via Barycenter-Based Adversarial Inverse Reinforcement Learningcited by 0
- 2026Learning Stock Trading Policies via Barycenter-Based Adversarial Inverse Reinforcement Learning16 Aug 2026
- 2025Regret-Optimized Portfolio Enhancement through Deep Reinforcement Learning and Future Looking Rewards4 Feb 2025
- 2023Data Cross-Segmentation for Improved Generalization in Reinforcement Learning Based Algorithmic Trading18 Jul 2023
Similar, not cited
Close in wording, no citation either way
- 2026Model-Free Inference of Investor Preferences: A Relative Entropy IRL Approach
- 2024Robot See, Robot Do: Imitation Reward for Noisy Financial Environments
- 2019Towards Inverse Reinforcement Learning for Limit Order Book Dynamics
- 2022MetaTrader: An Reinforcement Learning Approach Integrating Diverse Policies for Portfolio Optimization
- 2026Eliciting ESG Preferences for Reinforcement Learning-Based Portfolio Optimization
- 2025Reinforcement Learning for Portfolio Optimization with a Financial Goal and Defined Time Horizons
- 2024Towards Sample-Efficiency and Generalization of Transfer and Inverse Reinforcement Learning: A Comprehensive Literature Review
- 2025Trading-R1: Financial Trading with LLM Reasoning via Reinforcement Learning