Optimizing a Portfolio of Cryptocurrencies with Deep Reinforcement Learning

Too Long; Didn't Read

Portfolio Optimization or the process of giving optimal weights to assets in a financial portfolio is a fundamental problem in Financial Engineering. There are many approaches one can follow — for passive investments the most common is liquidity based weighting or market capitalization weighting. If one has no view on investment performance one follows equal weighting. Following the <a href="https://www.investopedia.com/terms/c/capm.asp" target="_blank">Capital Asset Pricing Model</a>, the most elegant solution is the <a href="https://www.investopedia.com/terms/m/modernportfoliotheory.asp" target="_blank">Markovitz Optimal portfolio</a> — where risk-averse investors try to maximize return based on their level of risk&nbsp;.