# portfolio-optimization

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• 2022-04-04 03:44
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portfolio-optimization-main.zip
• portfolio-optimization-main
• img
• compare.png
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• mark.png
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• po_model.png
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• training.png
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• train.py
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• config.py
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• environments.py
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• utils.py
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• policies.py
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# Portfolio Optimization using Reinforcement Learning Experimenting with RL for building optimal portfolio of 3 stocks and comparing it with portfolio theory based Markowitz' approach Pls checkout the [medium article](https://medium.com/@noufalsamsudin/portfolio-optimization-using-reinforcement-learning-1b5eba5db072) for a quick overview. To train RL model: ``` python train.py ``` ## Problem Statement 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. ![Pic of Model](https://github.com/kvsnoufal/portfolio-optimization/blob/main/img/po_model.png) ## RL agent training ![Pic of training](https://github.com/kvsnoufal/portfolio-optimization/blob/main/img/training.png) ## Results ![Pic of results](https://github.com/kvsnoufal/portfolio-optimization/blob/main/img/compare.png)

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