Portfolio Rebalancing with a Consideration of Market Conditions Changes Using Instance-Based Policy Optimization

摘要

The portfolio optimization problem involves decisions pertaining to the investment target and proportion of investment in a large number of assets in order to minimize risk and maximize returns. In recent years, metaheuristics methods have been actively applied to portfolio optimization. Under portfolio optimization, the portfolio is optimized for a fixed period of time so that its performance during that period is excellent. However, the optimized portfolio may not be able to sustain that performance later. Therefore, there is a need for recombining assets and changing the proportion of asset allocation by means of rebalancing. The rebalancing has to be done at an appropriate time. In this paper, we propose a technique for dynamic rebalancing of a portfolio at an appropriate time by applying instance-based policy optimization, with a consideration of market conditions changes.