---
# System prepended metadata

title: Cost-sensitive portfolio selection via deep reinforcement learning
tags: [Finance, Reinforcement Learning, paper]

---

# Cost-sensitive portfolio selection via deep reinforcement learning
###### tags: `paper` `Reinforcement Learning` `Finance`

:::info
Published in: IEEE Transactions on Knowledge and Data Engineering

Yifan Zhang
School of Software Engineering, South China University of Technology, Guangzhou, Guangdong China (e-mail: sezyifan@mail.scut.edu.cn)
Peilin Zhao
AI Lab, Tencent, 508929 Shenzhen, Guangdong China (e-mail: peilinzhao@hotmail.com)
Bin Li
School of Software Engineering, South China University of Technology, Guangzhou, Guangdong China (e-mail: qyw@scut.edu.cn)
Qingyao Wu
Department of Finance, Wuhan University, Wuhan, Hubei China (e-mail: binli.whu@whu.edu.cn)
Junzhou Huang
AI Lab, Tencent, Shenzhen, Guangdong China (e-mail: joehhuang@tencent.com)
Mingkui Tan
School of Software Engineering, South China University of Technology, 26467 Guangzhou, Guangdong China (e-mail: mingkuitan@scut.edu.cn)

Date of Publication: 10 March 2020 
dataset source : https://poloniex.com/
dataset api : https：//poloniex.com/support/api/
:::

:::warning

整份備忘:
    $r^c_t$ : 第t個period考慮cost 的reward
    $\hat{r}^c_t$ : 第t個period考慮cost 的reward 取log
    預測時長==test data時長
:::

7-2 Reinforcement Learning Algorithm Selection
    為何使用DPG不使用AC(Actor-Critic)?