Predictive multi-period multi-objective portfolio optimization based on higher order moments: Deep learning approach

[Display omitted] •We Proposed predictive multi-period multi-objective portfolio optimization model.•Higher moments of returns such as skewness and kurtosis are considered in the proposed model.•Machine learning method, i.e., Long Short-Term Memory (LSTM), is used to predict the daily stock price ti...

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Vydáno v:	Computers & industrial engineering Ročník 183; s. 109450
Hlavní autoři:	Abolmakarem, Shaghayegh, Abdi, Farshid, Khalili-Damghani, Kaveh, Didehkhani, Hosein
Médium:	Journal Article
Jazyk:	angličtina
Vydáno:	Elsevier Ltd 01.09.2023
Témata:	Convolutional neural network Goal programming Long short-term memory Multi-objective programming Multi-period portfolio optimization Stock prediction Multi-period portfolio optimization Long short-term memory Stock prediction Multi-objective programming Convolutional neural network Goal programming
ISSN:	0360-8352, 1879-0550
On-line přístup:	Získat plný text
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