Add portfolio optimization environment #309
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thanks for your valuable codes. good work. |
zhumingpassional
merged commit 12ef24b
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AI4Finance-Foundation:master
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Hello!
I've developed a portfolio optimization environment (POE) for FinRL that uses the formulation presented in this paper. This environment simulates the passage of time given an input data frame (that can easily be retrieved using FinRL) and calculates the influence of the market in the portfolio value over time considering the stock prices and commission fees from rebalancing. I think it would be a great addition to FinRL since many papers use this formulation, but, to the best of my knowledge, there is no open source gym environment implementing it.
This pull request also adds an example that reproduces the EIIE (ensemble of identical independent evaluators) architecture from this paper in the Brazilian market using POE.