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A learning-based strategy for portfolio selection

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  • Chen, Shun
  • Ge, Lei

Abstract

Neural networks have shown exceptional performance in targeting different research areas. In this paper, we investigate a learning-based strategy for optimal investment by using neural network. First, an optimization problem for portfolio selection is proposed. Then, a neural network model is used to optimize this problem. The main contribution is that based on this proposed optimization problem and neural network model, we can easily implement the structure and obtain the final results by using deep learning software. Finally, we numerically compare the results obtained from our strategy with those of classic solutions. The comparison demonstrates the effectiveness of the learning-based strategy.

Suggested Citation

  • Chen, Shun & Ge, Lei, 2021. "A learning-based strategy for portfolio selection," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 936-942.
    • Handle: RePEc:eee:reveco:v:71:y:2021:i:c:p:936-942
    DOI: 10.1016/j.iref.2020.07.010
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    Cited by:

    1. Akhilesh KUMAR & Mohammad SHAHID, 2021. "Portfolio selection problem: Issues, challenges and future prospectus," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(4(629), W), pages 71-90, Winter.
    2. Ruoxin Xiao, 2022. "Optimal consumption-investment choices under wealth-driven risk aversion," Papers 2210.00950, arXiv.org.
    3. Yichen Zhu & Marcos Escobar-Anel, 2021. "A Neural Network Monte Carlo Approximation for Expected Utility Theory," JRFM, MDPI, vol. 14(7), pages 1-18, July.
    4. Ahmed, Shamima & Alshater, Muneer M. & Ammari, Anis El & Hammami, Helmi, 2022. "Artificial intelligence and machine learning in finance: A bibliometric review," Research in International Business and Finance, Elsevier, vol. 61(C).
    5. Vera Ivanyuk, 2021. "Formulating the Concept of an Investment Strategy Adaptable to Changes in the Market Situation," Economies, MDPI, vol. 9(3), pages 1-19, June.

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    More about this item

    Keywords

    Neural network; Portfolio selection; Strategy; Optimization;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics

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