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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Veröffentlicht in:	Computers & industrial engineering Jg. 183; S. 109450
Hauptverfasser:	Abolmakarem, Shaghayegh, Abdi, Farshid, Khalili-Damghani, Kaveh, Didehkhani, Hosein
Format:	Journal Article
Sprache:	Englisch
Veröffentlicht:	Elsevier Ltd 01.09.2023
Schlagworte:	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
Online-Zugang:	Volltext
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