55 citations · 58 across the 6 of their papers we have counts for
6 papers
Addressing Market Regime Changes and Heavy-Tailed Returns in Portfolio Optimization via Bayesian VAR and Elliptical Black-Litterman
Daniil Mikriukov, Ruoyu Sun, Angelos Stefanidis +2
Deep reinforcement learning (DRL) frameworks for portfolio optimization have shown promise for their ability to learn allocation rules dynamically from market data. However, these…
Factor-MCLS: Multi-agent learning system with reward factor matrix and multi-critic framework for dynamic portfolio optimization
Ruoyu Sun, Angelos Stefanidis, Zhengyong Jiang +1
Typical deep reinforcement learning (DRL) agents for dynamic portfolio optimization learn the factors influencing portfolio return and risk by analyzing the output values of the re…
A novel multi-agent dynamic portfolio optimization learning system based on hierarchical deep reinforcement learning
Ruoyu Sun, Yue Xi, Angelos Stefanidis +2
Deep Reinforcement Learning (DRL) has been extensively used to address portfolio optimization problems. The DRL agents acquire knowledge and make decisions through unsupervised int…
Combining Transformer based Deep Reinforcement Learning with Black-Litterman Model for Portfolio Optimization
Ruoyu Sun, Angelos Stefanidis, Zhengyong Jiang +1
As a model-free algorithm, deep reinforcement learning (DRL) agent learns and makes decisions by interacting with the environment in an unsupervised way. In recent years, DRL algor…
NTK-SAP: Improving neural network pruning by aligning training dynamics
Yite Wang, Dawei Li, Ruoyu Sun
Pruning neural networks before training has received increasing interest due to its potential to reduce training time and memory. One popular method is to prune the connections bas…
Off-road Autonomous Vehicles Traversability Analysis and Trajectory Planning Based on Deep Inverse Reinforcement Learning
Zeyu Zhu, Nan Li, Ruoyu Sun +2
Terrain traversability analysis is a fundamental issue to achieve the autonomy of a robot at off-road environments. Geometry-based and appearance-based methods have been studied in…