參考文獻: | [1] Black, F., & Litterman, R. (1991), “Asset Allocation: Combining Investor Views with Market Equilibrium.” The Journal of Fixed Income, 1(2), 7-18. [2] Black, F., & Litterman, R. (1992), “Global Portfolio Optimization.” Financial Analysts Journal, 48(5), 28-43. [3] Black, F., Jensen, M. C., & Scholes, M. (1972), “The Capital Asset Pricing Model: Some Empirical Tests.” In M. Jenson, ed., Studies in the Theory of Capital Markets (Praeger, New York, NY). [4] Donthireddy, P. (2018), “Black-Litterman Portfolios with Machine Learning derived Views.” ResearchGate. Retired April 12, 2022, from https://www.researchgate.net/publication/326489143_Black-Litterman_Portfolios_with_Machine_Learning_derived_Views [5] He, G., & Litterman, R. (2002), “The intuition behind Black-Litterman model portfolios.” Available at SSRN 334304. [6] Jiang, Z., & Liang, J. (2017, September), “Cryptocurrency Portfolio Management with Deep Reinforcement Learning.” In 2017 Intelligent Systems Conference (IntelliSys), 905-913, IEEE. [7] Lin, E., Chen, Q., & Qi, X. (2020), “Deep reinforcement learning for imbalanced classification.” Applied Intelligence, 50(8), 2488-2502. [8] Lintner, J. (1965), “Security Prices, Risk, and Maximal Gains from Diversification.” The Journal of Finance, 20(4), 587-615. [9] Markowitz, H.(1952), “Portfolio selection.” The Journal of Finance,7(1),77-91 [10] Meucci, A. (2010), “The Black-Litterman Approach: Original Model and Extensions.” Shorter version in, The Encyclopedia Of Quantitative Finance, Wiley. [11] Moody, J., & Saffell, M. (2001), “Learning to Trade Via Direct Reinforcement.” IEEE transactions on neural Networks, 12(4), 875-889. [12] Neuneier, R. (1997), “Enhancing Q-Learning For Optimal Asset Allocation.” Advances In Neural Information Processing Systems, 10. 936-942 [13] Schulman, J., Wolski, F., Dhariwal, P., Radford, A., & Klimov, O. (2017), “Proximal Policy Optimization Algorithms.” arXiv:1707.06347 [14] Sharpe, W. F. (1964), “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk.” The journal of finance, 19(3), 425-442. [15] Treynor, J. L. (1961), “Market Value, Time, and Risk.” Available at SSRN 2600356. [16] Zhang, Y., Zhao, P., Li, B., Wu, Q., Huang, J., & Tan, M. (2020), “Cost-Sensitive Portfolio Selection Via Deep Reinforcement Learning.” IEEE Transactions on Knowledge and Data Engineering |