2 papers
cs.CL2024
Text-Based Correlation Matrix in Multi-Asset Allocation
Yasuhiro Nakayama, Tomochika Sawaki, Issei Furuya +1
The purpose of this study is to estimate the correlation structure between multiple assets using financial text analysis. In recent years, as the background of elevating inflation…
q-fin.PM2023
Causal Inference on Investment Constraints and Non-stationarity in Dynamic Portfolio Optimization through Reinforcement Learning
Yasuhiro Nakayama, Tomochika Sawaki
In this study, we have developed a dynamic asset allocation investment strategy using reinforcement learning techniques. To begin with, we have addressed the crucial issue of incor…