Portfolio optimization with return prediction using deep learning and machine learning
Published in Expert systems with applications (2021)
TL
TL;DR
Experimental results show that MV and omega models with RF return prediction, i.e., RF+MVF and RF+OF, outperform the other models and omega model with SVR prediction (SVR+OF) performs the best among OF models, and investors are advised to build MVF withRF return prediction for daily trading investment.