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Prediction-Based Portfolio Optimization Models Using Deep Neural Networks
16 references·3 citing·51 second hop
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(2007)A systematic review of fundamental and technical analysis of stock market predictions (2019)Applications of deep learning in stock market prediction: Recent progress (2021)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)A Comparison of ARIMA and LSTM in Forecasting Time Series (2018)The Performance of LSTM and BiLSTM in Forecasting Time Series (2019)Generación de series de tiempo financieras sintéticas para "data augmentation" usando redes neuronales generativas adversarias (GAN) (2021)Price Momentum and Trading Volume (2000)Deep Learning for Stock Market Prediction (2020)Predicting Stock Market Trends Using Machine Learning and Deep Learning Algorithms Via Continuous and Binary Data; a Comparative Analysis (2020)Short-term stock market price trend prediction using a comprehensive deep learning system (2020)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 2017Deep learning with long short-term memory networks for financial market predictions2,827 cited
  • 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market1,516 cited
  • 2014Predicting stock and stock price index movement using Trend Deterministic Data Preparation and machine learning techniques1,139 cited
  • 2017Deep learning networks for stock market analysis and prediction: Methodology, data representations, and case studies833 cited
  • 2016Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500749 cited
  • 1984Models of Stock Returns--A Comparison606 cited
  • 2018Deep learning-based feature engineering for stock price movement prediction483 cited
  • 1965Portfolio Analysis in a Stable Paretian Market468 cited
  • 2016Stock prediction using deep learning339 cited
  • 2018Decision-making for financial trading: A fusion approach of machine learning and portfolio selection276 cited
  • 2018Exploring the use of deep neural networks for sales forecasting in fashion retail262 cited
  • 2010A multiple-kernel support vector regression approach for stock market price forecasting255 cited
  • 2019Portfolio formation with preselection using deep learning from long-term financial data

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219 cited
  • 2017Intraday prediction of Borsa Istanbul using convolutional neural networks and feature correlations188 cited
  • 2009Prediction-based portfolio optimization model using neural networks171 cited
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    • 2023Deep Learning for Financial Time Series Prediction: A State-of-the-Art Review of Standalone and Hybrid Models63 cited