Portfolio optimization with return prediction using deep learning and machine learning

作者：

Highlights：

• Compares the performance of machine learning and deep learning in stock preselection.

• Combining return prediction of machine learning and deep learning in portfolio formation.

• Emphasis on advancing portfolio optimization with return prediction.

• Advanced mean–variance model with random forest forecasts performs the best.

摘要

•Compares the performance of machine learning and deep learning in stock preselection.•Combining return prediction of machine learning and deep learning in portfolio formation.•Emphasis on advancing portfolio optimization with return prediction.•Advanced mean–variance model with random forest forecasts performs the best.

论文关键词：Financial trading,Return prediction,Portfolio optimization,Deep learning,Machine learning

论文评审过程：Received 4 June 2020, Revised 1 September 2020, Accepted 3 September 2020, Available online 5 September 2020, Version of Record 7 September 2020.

论文官网地址：https://doi.org/10.1016/j.eswa.2020.113973