Robo-Advising: Enhancing Investment with Inverse Optimization and Deep Reinforcement Learning

Machine Learning (ML) has been embraced as a powerful tool by the financial industry, with notable applications spreading in various domains including investment management. In this work, we propose the first full-cycle data-driven investment robo-advising framework, consisting of two ML agents. The first agent, an inverse portfolio optimization agent, infers an investor’s risk preference and expe...