Problem definition
As we already know, portfolio management is the continuous reallocation of funds across different multiple financial products (assets). In this work, the time is divided into equal length periods, where each period T = 30 minutes. At the beginning of each period, the trading agent reallocates the fund across different assets. The price of an asset fluctuates within a period, but four important price metrics are taken into consideration, which are good enough to characterize the price movement of an asset in the period. These price metrics are as follows:
- Opening price
- Highest price
- Lowest price
- Closing price
For a continuous market (such as our test case), the opening price of an asset in a period t is its closing price in the previous period t-1. The portfolio consists of m assets. For a time period t, the closing prices of all the m assets create the price vector
. Thus,
element of
that is
is the closing price of the
asset in that
time period.
Similarly, we have vector...
