Cryptocurrency Portfolio Management with Reinforcement Learning: Soft Actor--Critic and Deep Deterministic Policy Gradient Algorithms
On the map: Deep reinforcement learning methods → Adversarial robustness and RL in finance
Abstract (arXiv)
This paper proposes a reinforcement learning--based framework for cryptocurrency portfolio management using the Soft Actor--Critic (SAC) and Deep Deterministic Policy Gradient (DDPG) algorithms. Traditional portfolio optimization methods often struggle to adapt to the highly volatile and nonlinear dynamics of cryptocurrency markets. To address this, we design an agent that learns continuous trading actions directly from historical market data through interaction with a simulated trading environment. The agent optimizes portfolio weights to maximize cumulative returns while minimizing downside risk and transaction costs. Experimental evaluations on multiple cryptocurrencies demonstrate that the SAC and DDPG agents outperform baseline strategies such as equal-weighted and mean--variance portfolios. The SAC algorithm, with its entropy-regularized objective, shows greater stability and robustness in noisy market conditions compared to DDPG. These results highlight the potential of deep reinforcement learning for adaptive and data-driven portfolio management in cryptocurrency markets.
Key facts. No citing papers in the map yet (data through 14 Oct 2026). Placed in Adversarial robustness and RL in finance, one of 15 directions in Deep reinforcement learning methods. Builds on 3 of its 29 references that are in the map. First posted on arXiv 16 Nov 2025.
Builds on
3 of 29 references.
References · 3
- 2018Addressing Function Approximation Error in Actor-Critic Methodscited by 2,417
- 2017Deep Reinforcement Learning that Matterscited by 754
- 2019Soft Actor-Critic for Discrete Action Settingscited by 174
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