Experimenting with RL for building optimal portfolio of 3 stocks and comparing it with portfolio theory based Markowitz' approach
Pls checkout the medium article for a quick overview.
To train RL model:
python train.py
To download data: https://www.dropbox.com/s/jy1bid7tcg0vv4n/cleaned_preprocessed.csv?dl=0 Take a look at pre_process.py if you want to get an idea on how this file was cleaned and compiled.
I will be formulating this as a portfolio optimization problem : Given histories of 3 different stocks, how would we allocate a fixed amount of money between these stocks every day so that maximize the likelihood of returns.
The objective is to develop of policy (strategy) for building a portfolio. The portfolio is essentially an allocation of available resources across various stocks. The policy then needs to restructure the portfolio over time as new information becomes available.
