Portfolio formation with preselection using deep learning from long-term financial data
作者：
Highlights：
• A novel method for investment builds from classic statistics and deep-learning.
• Portfolio formation by mean-variance and deep learning for predictive finance.
• Emphasis on preselection of high quality assets.
• Considering long-term dependences in time-series fluctuation.
• The results outperform other strategies with respect to potential returns and risks.
摘要
•A novel method for investment builds from classic statistics and deep-learning.•Portfolio formation by mean-variance and deep learning for predictive finance.•Emphasis on preselection of high quality assets.•Considering long-term dependences in time-series fluctuation.•The results outperform other strategies with respect to potential returns and risks.
论文关键词：Asset preselection,Long-term financial data,Financial forecasting,Portfolio optimisation
论文评审过程：Received 20 June 2019, Revised 11 October 2019, Accepted 16 October 2019, Available online 17 October 2019, Version of Record 1 November 2019.
论文官网地址：https://doi.org/10.1016/j.eswa.2019.113042
