Optimal Portfolio Construction -- A Reinforcement Learning Embedded Bayesian Hierarchical Risk Parity (RL-BHRP) Approach

Shaofeng Kang, Zeying Tian

We propose a two-level, learning-based portfolio method (RL-BHRP) that spreads risk across sectors and stocks, and adjusts exposures as market conditions change. Using U.S. Equitie…