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Mike Clark
2018-02-05 16:50:44 +08:00
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Attempting to replicate "A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem" by [Jiang et. al. 2017](https://arxiv.org/abs/1706.10059) [1].
**note the authors have put [the official code for the paper up](https://github.com/ZhengyaoJiang/PGPortfolio)**
**note the authors have put [the official code for the paper up and it works well](https://github.com/ZhengyaoJiang/PGPortfolio)**
tl;dr I managed to get 8% growth on training data, but it disapeared on test data. However, RL papers can be very difficult to replicate due to bugs, framework differences, and hyperparameter sensistivity.
tl;dr I managed to get 8% growth on training data, but it disapeared on test data. However, RL papers can be very difficult to replicate due to bugs, framework differences, and hyperparameter sensistivity.
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