Mean-variance portfolio optimization with deep learning based-forecasts for cointegrated stocks.
Juan DuPublished in: Expert Syst. Appl. (2022)
Keyphrases
- deep learning
- portfolio optimization
- stock market
- stock price
- stock exchange
- short term
- historical data
- financial markets
- portfolio selection
- trading strategies
- sharpe ratio
- investment strategies
- portfolio management
- long term
- unsupervised learning
- investment decisions
- financial time series
- machine learning
- financial data
- risk management
- weakly supervised
- non stationary
- data mining techniques
- problems involving
- exchange rate
- mental models
- trading systems
- factor analysis
- optimization methods
- natural language processing
- semi supervised
- probabilistic model
- multi objective
- high dimensional