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

Datasets

Users can access the the used dataset in our paper through google driver as shown in the following link.

https://drive.google.com/drive/folders/1idb8NpiCaAzHLaklw6KhTxuJnIQYiM9W?usp=drive_link

Return-Related Maximization

Users can train MILLION framework through the following code:

python main.py

For the hyper-parameters, users can manually set in config.py file.

Risk Control

Users can follow the jupyter notebooks, i.e., interpolation_plot.ipynb and improvement_plot.ipynb, to conduct risk control experiments.