8/26/2019 Conference Management Toolkit - Submission Summary

Submission Summary
Conference Name
Thirty-Fourth AAAI Conference on Artificial Intelligence
Paper ID
2783
Paper Title
Neural stochastic control application: Optimal portfolio allocation
Abstract
Neural Control (NC) is a growing field in stochastic optimal control applied to various dynamical systems such as quadcopter. NC
is a non-parametric, learning based computational scheme, is able to handle high dimensional control problems. In this paper, we
apply “neural control” principles to the problem of optimal investment portfolio allocation, which is commonly solved by the usage
of covariance matrix in a Markowitz framework. Thus, we re-cast the portfolio quadratic optimization problem into a generic
stochastic control framework, with no-linear dependencies and then solve the control problem using using various Neural
Networks (NNs). In this context of NC, we recall previous research works using stacked Feed-Forward for time independent
control and formulate
the properties of new NN architectures: Long Short-Term Memory (LSTM) and Attention LSTM for time-dependent control.
In the final section, we show numerical results of control weights convergence and dynamics using Monte Carlo simulation of
portfolio asset prices (Geometric Brownian Motion) through various scenarios: one scenario using stationary regime of volatility
and correlation, one another using no-stationary regime. Thus, we identify the behavior of the 3 NNs architectures in those
scenarios. We highlight further development of (NC) in this topic of optimal portfolio allocation as alternative of covariance matrix
based solutions,as well as in related finance problems.
Created on
8/26/2019, 11:44:29 PM
Last Modified
8/26/2019, 11:47:38 PM
Authors
Kevin Noel (Rakuten) <kevin.noel@rakuten.com>
Primary Subject Area
Applications (APP) -> APP: Economic/Financial
Secondary Subject Areas
Applications (APP) -> APP: Other Applications
Constraint Satisfaction and Optimization (CSO) -> CSO: Machine Learning and Optimization
Machine Learning (ML) -> ML: Deep Learning/Neural Networks
Machine Learning (ML) -> ML: Supervised Learning (Other)
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