Long-only cryptocurrency portfolio management by ranking the assets: a neural network approach

2025-12-09 · Zijiang Yang arxiv

This paper will propose a novel machine learning based portfolio management method in the context of the cryptocurrency market. Previous researchers mainly focus on the prediction of the movement for specific cryptocurrency such as the bitcoin(BTC) and then trade according to the prediction. In contrast to the previous work that treats the cryptocurrencies independently, this paper manages a group of cryptocurrencies by analyzing the relative relationship. Specifically, in each time step, we utilize the neural network to predict the rank of the future return of the managed cryptocurrencies and place weights accordingly. By incorporating such cross-sectional information, the proposed methods is shown to profitable based on the backtesting experiments on the real daily cryptocurrency market data from May, 2020 to Nov, 2023. During this 3.5 years, the market experiences the full cycle of bullish, bearish and stagnant market conditions. Despite under such complex market conditions, the proposed method outperforms the existing methods and achieves a Sharpe ratio of 1.01 and annualized return of 64.26%. Additionally, the proposed method is shown to be robust to the increase of transaction fee.

📄 PDF Abstract BibTeX arXiv:2512.08124

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Cryptocurrency Portfolio Management with Reinforcement Learning: Soft Actor--Critic and Deep Deterministic Policy Gradient Algorithms

2025-11-16 · Kamal Paykan arxiv

This paper proposes a reinforcement learning--based framework for cryptocurrency portfolio management using the Soft Actor--Critic (SAC) and Deep Deterministic Policy Gradient (DDPG) algorithms. Traditional portfolio opt…

Reinforcement Learning Portfolio Optimization

A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem

2017-06-30 · Zhengyao Jiang, Dixing Xu, Jinjun Liang

Financial portfolio management is the process of constant redistribution of a fund into different financial products. This paper presents a financial-model-free Reinforcement Learning framework to provide a deep machine …

Deep Reinforcement Learning Management Portfolio Optimization reinforcement-learning+2

A Deep Reinforcement Learning Framework For Financial Portfolio Management

2024-09-03 · Jinyang Li

In this research paper, we investigate into a paper named "A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem" [arXiv:1706.10059]. It is a portfolio management problem which is solved …

Deep Reinforcement Learning Management reinforcement-learning Reinforcement Learning

Cryptocurrency Portfolio Management with Deep Reinforcement Learning

2016-12-05 · Zhengyao Jiang, Jinjun Liang

Portfolio management is the decision-making process of allocating an amount of fund into different financial investment products. Cryptocurrencies are electronic and decentralized alternatives to government-issued money,…

Decision Making Deep Reinforcement Learning Management reinforcement-learning+2

Automatic Financial Trading Agent for Low-risk Portfolio Management using Deep Reinforcement Learning

2019-09-07 · Wonsup Shin, Seok-Jun Bu, Sung-Bae Cho

The autonomous trading agent is one of the most actively studied areas of artificial intelligence to solve the capital market portfolio management problem. The two primary goals of the portfolio management problem are ma…

Deep Reinforcement Learning Management reinforcement-learning Reinforcement Learning+1