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Portfolio optimization with return prediction using deep learning and machine learning · Study

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ArticlePortfolio optimization with return prediction using deep learning and machine learning

Yilin Ma2020

Article2020

Portfolio optimization with return prediction using deep learning and machine learning

Yilin Ma · Ruizhu Han · Weizhong Wang

299 citations·0/0 files stored·Expert Systems with Applications

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Stock Market Forecasting Methods Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

2000Optimization of conditional value-at-risk 1959Portfolio Selection: Efficient Diversification of Investments 2017Deep learning with long short-term memory networks for financial market predictions 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market 2021Generación de series de tiempo financieras sintéticas para "data augmentation" usando redes neuronales generativas adversarias (GAN)2014Predicting stock and stock price index movement using Trend Deterministic Data Preparation and machine learning techniques 1996Value at risk: the new benchmark for controlling market risk 2017Deep learning networks for stock market analysis and prediction: Methodology, data representations, and case studies

Cited by

2023Financial applications of machine learning: A literature review 2023Prediction based mean-value-at-risk portfolio optimization using machine learning regression algorithms for multi-national stock markets 2022Forecasting stock market for an efficient portfolio by combining XGBoost and Hilbert–Huang transform 2022An integrated generalized TODIM model for portfolio selection based on financial performance of firms

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Year2020

Typearticle

Published2020-09-06

VenueExpert Systems with Applications

ISSN-L0957-4174

Languageen

Citations299

Files0 public / 0

ShelfStock Market Forecasting Methods

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doi10.1016/j.eswa.2020.113973

openalex_workW3083080466

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2022Markowitz Mean-Variance Portfolio Optimization with Predictive Stock Selection Using Machine Learning

2023An integrated CRITIC and Grey Relational Analysis approach for investment portfolio selection

2022Mean–variance portfolio optimization with deep learning based-forecasts for cointegrated stocks

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