We show that the introduction of a leverage constraint improves the practical implementation of characteristics-based portfolios. The addition of the constraint leads to significantly lower transaction costs, to a reduction of negative portfolio weights, and to a decrease in volatility and...

This article aims to enhance factor investing with reinforcement learning (RL) techniques. The agent learns through sequential random allocations which rely on firms' characteristics. Using Dirichlet distributions as the driving policy, we derive closed forms for the policy gradients and...

This article aims to enhance factor investing with reinforcement learning (RL) techniques. The agent learns through sequential random allocations which rely on firms' characteristics. Using Dirichlet distributions as the driving policy, we derive closed forms for the policy gradients and...

Die vorliegende Arbeit hat zwei wesentliche Ziele. Auf der einen Seite soll sie existierende Konzepte zum systematischen Faktorinvestieren erweitern, mögliche Problemstellungen aufdecken und Verbesserungen vorschlagen. Zweitens, untersucht diese Arbeit eine neue Form von FinTech Innovationen:...