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Published at December 4

MILLION: A General Multi-Objective Framework with Controllable Risk for Portfolio Management

q-fin.PM

cs.AI

cs.LG

Released Date: December 4, 2024

Authors: Liwei Deng¹, Tianfu Wang², Yan Zhao¹, Kai Zheng¹

Aff.: ¹University of Electronic Science and Technology of China; ²University of Science and Technology of China

Arxiv: http://arxiv.org/pdf/2412.03038v1

Refer to caption

Methods	DOW30					NAS100					Crypto10
	APR $\uparrow$	AVOL $\downarrow$	ASR $\uparrow$	ACR $\uparrow$	MDD $\uparrow$	APR $\uparrow$	AVOL $\downarrow$	ASR $\uparrow$	ACR $\uparrow$	MDD $\uparrow$	APR $\uparrow$	AVOL $\downarrow$	ASR $\uparrow$	ACR $\uparrow$	MDD $\uparrow$
Market	0.2182	0.1133	1.7994	3.6065	-0.0605	0.3566	0.3704	1.0101	1.1099	-0.3213	-0.0494	0.5612	0.1922	-0.0656	-0.7530
MVM	0.0941	0.1138	0.8472	1.6677	-0.0565	0.3907	0.2914	1.2796	1.3885	-0.2814	0.1406	0.4560	0.5180	0.1939	-0.7252
DT	0.0948	0.1229	0.7979	1.1003	-0.0861	0.9011	0.4100	1.7731	4.4232	-0.2037	-0.1786	0.6937	0.0627	-0.2116	-0.8438
LR	0.2125	0.1416	1.4318	2.5832	-0.0823	0.7128	0.4149	1.5057	2.2923	-0.3109	-0.1489	0.6744	0.0757	-0.1774	-0.8395
RF	0.2326	0.1562	1.4173	2.6315	-0.0884	0.5249	0.3772	1.3082	1.7548	-0.2991	-0.1698	0.7046	0.0830	-0.2175	-0.7806
SVM	0.0047	0.1105	0.0980	0.0545	-0.0871	0.8349	0.3617	1.6598	3.1439	-0.2656	0.0025	0.7448	0.3526	0.0028	-0.8955
LSTM-PTO	0.1808	0.1194	1.4516	2.6715	-0.0677	-0.4360	0.9906	-0.0831	-0.7148	-0.6099	0.0334	0.6555	0.3759	0.0432	-0.7730
LSTMHAM-PTO	0.1044	0.1143	0.9254	1.8236	-0.0572	-0.4640	0.8107	-0.3547	-0.7971	-0.5821	-0.0297	0.7656	0.3403	-0.0436	-0.6799
FinRL-A2C	0.2186	0.1134	1.8001	3.5902	-0.0609	0.3630	0.3718	1.0203	1.1285	-0.3217	-0.0451	0.5605	0.2000	-0.0602	-0.7488
FinRL-PPO	0.2379	0.1128	1.9492	4.1736	-0.0570	0.3572	0.3686	1.0143	1.1170	-0.3198	-0.0835	0.5521	0.1204	-0.1095	-0.7624
LSTMHAM-S	0.2731	0.1212	2.0532	3.8952	-0.0701	0.4442	0.5038	0.9794	1.5705	-0.2828	0.1837	0.6858	0.5684	0.2525	-0.7278
LSTMHAM-C	0.2915	0.1198	2.1949	4.1515	-0.0702	1.2153	0.8541	1.3296	2.7640	-0.4396	0.0838	0.6444	0.4357	0.1138	-0.7365
LSTMHAM-M	0.3214	0.1279	2.2432	4.2906	-0.0749	0.1846	0.4949	0.5888	0.5421	-0.3404	0.0532	0.5797	0.3790	0.0714	-0.7449
MILLION-S	0.3936	0.1417	2.4132	4.6153	-0.0806	1.9763	0.7243	1.8528	6.9817	-0.2830	0.3871	0.7405	0.7914	0.5821	-0.6650
MILLION-C	0.3857	0.2103	1.6572	3.8870	-0.0992	1.3172	0.8578	1.3759	3.1930	-0.4125	0.1996	0.7279	0.5888	0.2786	-0.7165
MILLION-M	0.3389	0.1288	2.5306	4.6412	-0.0736	1.2206	0.5638	1.6917	4.0832	-0.2989	0.0581	0.5797	0.3870	0.0783	-0.7440