A Deep Learning Approach to Goal-Based Portfolio Optimization in Non-Stationary Environments

Goal-based portfolio optimization is a portfolio design technique that tailors investment strategies to an investor’s specific financial objective. Traditional approaches to this paradigm often assume that market dynamics are stationary, meaning that factors such as mean returns, volatility, and asset correlations remain constant over time. In reality, market dynamics are often non-stationary, posing challenges to traditional methods. In this paper, we present a deep reinforcement learning framework that adapts to evolving market conditions, enabling more robust investment strategies. Additionally, we leverage deep probabilistic regression techniques for data generation and market state estimation, ensuring the model accurately reflects changing financial environments. The presented approach offers a flexible solution for goal-based investing in dynamic markets and outperforms benchmarks on historical multi-asset data.

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Publication Details

Journal
IEEE Access
Published
2025-01-01
DOI
https://doi.org/10.1109/access.2025.3588247
Primary Topic
Risk and Portfolio Optimization
Type
article
Field-Weighted Citation Impact
0.00
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article

A Deep Learning Approach to Goal-Based Portfolio Optimization in Non-Stationary Environments

Zvonko Kostanjčar, Lovre Mrčela, Sven Goluža, Tessa Bauman
IEEE Access
Risk and Portfolio Optimization
article

A Deep Learning Approach to Goal-Based Portfolio Optimization in Non-Stationary Environments

Zvonko Kostanjčar, Lovre Mrčela, Sven Goluža, Tessa Bauman
article en

Abstract

Goal-based portfolio optimization is a portfolio design technique that tailors investment strategies to an investor’s specific financial objective. Traditional approaches to this paradigm often assume that market dynamics are stationary, meaning that factors such as mean returns, volatility, and asset correlations remain constant over time. In reality, market dynamics are often non-stationary, posing challenges to traditional methods. In this paper, we present a deep reinforcement learning framework that adapts to evolving market conditions, enabling more robust investment strategies. Additionally, we leverage deep probabilistic regression techniques for data generation and market state estimation, ensuring the model accurately reflects changing financial environments. The presented approach offers a flexible solution for goal-based investing in dynamic markets and outperforms benchmarks on historical multi-asset data.

IEEE AccessVol. 13
University of Zagreb (HR)
Openalex Percentile: Top 80%
Risk and Portfolio Optimization
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