Mean-variance portfolio optimization using machine learning-based stock price prediction.
Wei ChenHaoyu ZhangMukesh Kumar MehlawatLifen JiaPublished in: Appl. Soft Comput. (2021)
Keyphrases
- portfolio optimization
- stock price prediction
- stock price
- machine learning
- stock market
- stock exchange
- portfolio selection
- portfolio management
- historical data
- problems involving
- non stationary
- information extraction
- robust optimization
- risk management
- factor analysis
- exchange rate
- feature selection
- investment decisions
- financial time series
- optimization methods
- text mining
- financial data
- bi objective
- financial markets
- news articles
- text classification
- natural language processing
- learning algorithm
- data analysis
- sharpe ratio
- data mining