Portfolio Optimization

Issagali, Aizhan; Alshimbayeva, Damira; Zhalgas, Aidana

doi:10.1007/0-387-24149-3_1

Nonlinear Optimization With Financial Applications

DOI: 10.1007/0-387-24149-3_1

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Portfolio Optimization

Aizhan Issagali¹,

Damira Alshimbayeva²,

Aidana Zhalgas³

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References 47 publications

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Optimization of venture portfolio based on LSTM and dynamic programming

Ban¹,

Liu²,

2022

MATH

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<abstract><p>A rational investor always pursues a portfolio with the greatest possible return and the least possible risk. Therefore, a core issue of investment decision analysis is how to make an optimal investment choice in the market with fuzzy information and realize the balance between maximizing the return on assets and minimizing the risk. In order to find optimal investment portfolios of financial assets with high volatility, such as gold and Bitcoin, a mathematical model for formulating investment strategies based on the long short-term memory time series and the dynamic programming model combined with the greedy algorithm has been proposed in this paper. The model provides the optimal daily strategy for the five-year trading period so that it can achieve the maximum expected return every day under the condition of a certain investment amount and a certain risk. In addition, a reasonable risk measure based on historical increases is established while considering the weights brought by different investment preferences. The empirical analysis results show that the optimal total assets and initial capital obtained by the model change in the same proportion, and the model is relatively stable and has strong adaptability to the initial capital. Therefore, the proposed model has practical reference value and research significance for investors and promotes a better combination of computer technology and financial investment decision.</p></abstract>

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Optimization of venture portfolio based on LSTM and dynamic programming

Ban¹,

Liu²,

2022

MATH

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Portfolio Optimization

Cited by 1 publication

References 47 publications

Optimization of venture portfolio based on LSTM and dynamic programming

Optimization of venture portfolio based on LSTM and dynamic programming

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