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Dynamic Black Litterman portfolios with views derived via CNN-BiLSTM predictions
16 references·0 citing·41 second hop
Dynamic Black Litterman portfolios with views derived via CNN-BiLSTM predictions (2022)Dynamic Black Litterman portfolios with v…Forecasting directional movements of stock prices for intraday trading using LSTM and random forests (2022)Forecasting directional movem…Stock Price Forecast Based on CNN-BiLSTM-ECA Model (2021)Stock Price Forecast Based on…Applications of deep learning in stock market prediction: Recent progress (2021)Applications of deep learning…A Stock Closing Price Prediction Model Based on CNN‐BiSLSTM (2021)A Stock Closing Price Predict…New technical indicators and stock returns predictability (2020)New technical indicators and …A CNN–LSTM model for gold price time-series forecasting (2020)A CNN–LSTM model for gold pri…A CNN-LSTM-Based Model to Forecast Stock Prices (2020)A CNN-LSTM-Based Model to For…A CNN-BiLSTM-AM method for stock price prediction (2020)A CNN-BiLSTM-AM method for st…Forecasting commodity prices out-of-sample: Can technical indicators help? (2019)Forecasting commodity prices …CNNpred: CNN-based stock market prediction using a diverse set of variables (2019)CNNpred: CNN-based stock mark…Socially responsible investment portfolios: Does the optimization process matter? (2017)Socially responsible investme…Deep learning with long short-term memory networks for financial market predictions (2017)Deep learning with long short…Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Forecasting the Equity Risk P…Multi-Asset Portfolio Optimization and Out-of-Sample Performance: An Evaluation of Black-Litterman, Mean Variance and Naïve Diversification Approaches (2012)Multi-Asset Portfolio Optimiz…An application of the Black–Litterman model with EGARCH-M-derived views for international portfolio management (2007)An application of the Black–L…Global Portfolio Optimization (1992)Global Portfolio OptimizationEfficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)On Persistence in Mutual Fund Performance (1997)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)PORTFOLIO SELECTION* (1952)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Deep Learning for Stock Market Prediction (2020)A Survey of Forex and Stock Price Prediction Using Deep Learning (2021)Machine learning techniques and data for stock market forecasting: A literature review (2022)The Behavior of Stock-Market Prices (1965)Generalized autoregressive conditional heteroskedasticity (1986)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Stock market index prediction using deep Transformer model (2022)Forecasting Stock Market Prices Using Machine Learning and Deep Learning Models: A Systematic Review, Performance Analysis and Discussion of Implications (2023)Is gold a safe haven? 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(1936)Common risk factors in the returns on stocks and bonds (1993)Forecasting Stock Returns (2013)Deep Direct Reinforcement Learning for Financial Signal Representation and Trading (2016)Short interest and aggregate stock returns (2016)Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500 (2016)Algorithmic financial trading with deep convolutional neural networks: Time series to image conversion approach (2018)Stock market forecasting using a multi-task approach integrating long short-term memory and the random forest framework (2021)Algorithmic Trading and Financial Forecasting Using Advanced Artificial Intelligence Methodologies (2022)Grid search with a weighted error function: Hyper-parameter optimization for financial time series forecasting (2024)Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)Harmful diversification: Evidence from alternative investments (2018)Deep graph convolutional reinforcement learning for financial portfolio management – DeepPocket (2021)
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References

  • 2017Deep learning with long short-term memory networks for financial market predictions2,827 cited
  • 1992Global Portfolio Optimization1,846 cited
  • 2014Forecasting the Equity Risk Premium: The Role of Technical Indicators1,001 cited
  • 2020A CNN–LSTM model for gold price time-series forecasting869 cited
  • 2021Applications of deep learning in stock market prediction: Recent progress725 cited
  • 2019CNNpred: CNN-based stock market prediction using a diverse set of variables643 cited
  • 2020A CNN-BiLSTM-AM method for stock price prediction633 cited
  • 2020A CNN-LSTM-Based Model to Forecast Stock Prices564 cited
  • 2022Forecasting directional movements of stock prices for intraday trading using LSTM and random forests187 cited
  • 2012Multi-Asset Portfolio Optimization and Out-of-Sample Performance: An Evaluation of Black-Litterman, Mean Variance and Naïve Diversification Approaches116 cited
  • 2017Socially responsible investment portfolios: Does the optimization process matter?99 cited
  • 2019Forecasting commodity prices out-of-sample: Can technical indicators help?89 cited
  • 2020New technical indicators and stock returns predictability77 cited
  • 2021Stock Price Forecast Based on CNN-BiLSTM-ECA Model73 cited
  • 2021

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A Stock Closing Price Prediction Model Based on CNN‐BiSLSTM
72 cited
  • 2007An application of the Black–Litterman model with EGARCH-M-derived views for international portfolio management57 cited
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