Related papers: LLM-Enhanced Black-Litterman Portfolio Optimization

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Deep Stock Predictions [58.720142291102135]
We consider the design of a trading strategy that performs portfolio optimization using Long Short Term Memory (LSTM) neural networks. We then customize the loss function used to train the LSTM to increase the profit earned. We find the LSTM model with the customized loss function to have an improved performance in the training bot over a regressive baseline such as ARIMA.
arXiv Detail & Related papers (2020-06-08T23:37:47Z)
Deep Learning for Portfolio Optimization [5.833272638548154]
Instead of selecting individual assets, we trade Exchange-Traded Funds (ETFs) of market indices to form a portfolio. We compare our method with a wide range of algorithms with results showing that our model obtains the best performance over the testing period.
arXiv Detail & Related papers (2020-05-27T21:28:43Z)

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