2023
DOI: 10.1108/jm2-09-2022-0232
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Futuristic portfolio optimization problem: wavelet based long short-term memory

Shaghayegh Abolmakarem,
Farshid Abdi,
Kaveh Khalili-Damghani
et al.

Abstract: Purpose This paper aims to propose an improved version of portfolio optimization model through the prediction of the future behavior of stock returns using a combined wavelet-based long short-term memory (LSTM). Design/methodology/approach First, data are gathered and divided into two parts, namely, “past data” and “real data.” In the second stage, the wavelet transform is proposed to decompose the stock closing price time series into a set of coefficients. The derived coefficients are taken as an input to t… Show more

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