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研究生： 黃仕勳
Shr-Shiun Huang
論文名稱： 深度強化學習結合 Black-Litterman 模型之資產配置組合於 ETF 市場
Deep Reinforcement Learning and the Black-Litterman model for portfolio optimization on the ETF market
指導教授： 呂永和
Yung-Ho Leu
口試委員: 楊維寧
Wei-Ning Yang
陳雲岫
Yun-Shiow Chen
學位類別： 碩士
Master
系所名稱： 管理學院 - 資訊管理系
Department of Information Management
論文出版年： 2023
畢業學年度： 112
語文別： 英文
論文頁數： 41
中文關鍵詞： 深度強化學習 、Black-Litterman模型 、資產配置 、指數股票型基金 、深度確定策略梯度
外文關鍵詞： Deep Reinforcement Learning, Black-Litterman, Portfolio Optimization, ETF, DDPG
相關次數： 點閱：360  下載：0 
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    • ABSTRACT i 摘要 ii ACKNOWLEDGMENT iii TABLE OF CONTENTS iv LIST OF FIGURES vi LIST OF TABLES vii Chapter 1 Introduction 1 1.1 RESEARCH BACKGROUND 1 1.2 RESEARCH MOTIVATION 2 1.3 RESEARCH METHOD 3 1.4 RESEARCH OVERVIEW 4 Chapter 2 Related Work 5 2.1 MODERN PORTFOLIO THEORY 5 2.1.1 Mean-Variance Analysis and Efficient Frontiers 6 2.1.2 Black-Litterman Model 8 2.2 REINFORCEMENT LEARNING IN PORTFOLIO MANAGEMENT 9 Chapter 3 Preliminaries 12 3.1 DEEP DETERMINISTIC POLICY GRADIENT (DDPG) 12 3.2 ETF 15 3.3 MACD INDICATOR 15 Chapter 4 Research Method 17 4.1 STRUCTURE OF THE PROPOSED SYSTEM 17 4.2 DATA PREPROCESS 18 4.3 REINFORCEMENT LEARNING ACTION AND ENVIRONMENT 19 4.4 IMPLEMENTATION OF THE BLACK-LITTERMAN MODEL 20 4.4.1 Prior Return 21 4.4.2 View 22 4.4.3 Posterior Combined Return 24 4.4.4 Weight of Portfolio 24 Chapter 5 Experiment Results 26 5.1 DATASET AND BASELINE 26 5.1.1 Dataset 26 5.1.2 Baseline 27 5.2 SETTING 27 5.3 EVALUATION METRICS 28 5.4 RESULT 30 5.4.1 Annual Return 30 5.4.2 Max Drawdown 31 5.4.3 Calmar Ratio 31 5.4.4 Sharpe Ratio 32 5.4.5 Sortino Ratio 33 5.4.6 Cumulative 34 5.5 ABLATION STUDY 36 Chapter 6 Conclusion and Future Work 38 6.1 CONCLUSION 38 6.2 FUTURE WORK 38 Reference 40

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    全文公開日期 2025/10/26 (國家圖書館：臺灣博碩士論文系統)
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