Portfolio constructions in cryptocurrency market: A CVaR-based deep reinforcement learning approach

Keyphrases

• Compounding Effect 25%
• Conditional Value at Risk 100%
• Construction Technique 25%
• Cryptocurrency 25%
• Cryptocurrency Market 100%
• Cryptocurrency Portfolio 25%
• Deep Learning 25%
• Deep Reinforcement Learning (deep RL) 100%
• Economic Parameters 25%
• Financial Markets 50%
• Learning-based Optimization 25%
• Model Value 25%
• Multiple Risk Factors 25%
• Optimization Framework 25%
• Parameter Dependence 25%
• Portfolio Construction 100%
• Portfolio Model 50%
• Reinforcement Learning Approach 100%
• Risk Assets 25%
• Risk Distribution 25%
• Risk Management Model 25%
• Risk Measures 75%
• Risk Shocks 25%
• Risky Driving 100%
• Stock Market 25%
• Structural Breakdown 25%
• Tail Risk 100%
• Traditional Economics 25%

Computer Science

• Compounding Effect 20%
• Cryptocurrency 100%
• Deep Learning 20%
• Deep Reinforcement Learning 100%
• Economic Parameter 20%
• Learning Approach 100%
• Optimization Framework 20%
• Portfolio Construction 100%
• Risk Management 20%
• Value at Risk 100%

Economics, Econometrics and Finance

• Cryptocurrency 66%
• Cryptocurrency Markets 100%
• Financial Market 66%
• Risk Management 33%