Portfolio Optimization Strategies: New Approaches Based on Machine Learning Forecasting

This study provides an in-depth discussion and comprehensive review of the latest applications of machine learning techniques in the field of portfolio optimization. The article begins with an overview of traditional portfolio optimization theory and its limitations, and then focuses on how machine learning predictive models, which have flourished in recent years, can provide new perspectives and tools for solving the problems of non-linearity, dynamics and uncertainty in investment decision-making. This paper provides a detailed overview of the application practices of various machine learning algorithms (e.g., deep learning, reinforcement learning, integrated learning, etc.) in the areas of asset return prediction, risk assessment, and optimal weight allocation, and analyses their advantages and challenges compared to traditional methods. The analysis of relevant research cases reveals the significant effect of machine learning predictions in increasing expected portfolio returns, reducing risk exposure, and achieving effective diversification. The study also explores possible future trends and potential research directions for machine learning in portfolio optimization, highlighting the importance of combining domain knowledge with big data-driven intelligent investment decisions. This review aims to provide financial scholars and practitioners with a new way of thinking about portfolio optimization, and to promote the combination of theoretical research and practical operation in the fields of financial engineering and investment management, so as to achieve more accurate and efficient investment decisions.

Authors

Institutions

Publication Details

Journal
Highlights in Business Economics and Management
Published
2024-09-01
DOI
https://doi.org/10.54097/cpgtg807
Primary Topic
Economic and Technological Developments in Russia
Type
article
Field-Weighted Citation Impact
0.00
Controls
|||
ALL TIME
JAN
FEB
MAR
APR
MAY
JUN
JUL
AUG
SEP
OCT
article

Portfolio Optimization Strategies: New Approaches Based on Machine Learning Forecasting

Xuanlin Lyu
Highlights in Business Economics and Management
Economic and Technological Developments in Russia
article

Portfolio Optimization Strategies: New Approaches Based on Machine Learning Forecasting

Xuanlin Lyu
article en

Abstract

This study provides an in-depth discussion and comprehensive review of the latest applications of machine learning techniques in the field of portfolio optimization. The article begins with an overview of traditional portfolio optimization theory and its limitations, and then focuses on how machine learning predictive models, which have flourished in recent years, can provide new perspectives and tools for solving the problems of non-linearity, dynamics and uncertainty in investment decision-making. This paper provides a detailed overview of the application practices of various machine learning algorithms (e.g., deep learning, reinforcement learning, integrated learning, etc.) in the areas of asset return prediction, risk assessment, and optimal weight allocation, and analyses their advantages and challenges compared to traditional methods. The analysis of relevant research cases reveals the significant effect of machine learning predictions in increasing expected portfolio returns, reducing risk exposure, and achieving effective diversification. The study also explores possible future trends and potential research directions for machine learning in portfolio optimization, highlighting the importance of combining domain knowledge with big data-driven intelligent investment decisions. This review aims to provide financial scholars and practitioners with a new way of thinking about portfolio optimization, and to promote the combination of theoretical research and practical operation in the fields of financial engineering and investment management, so as to achieve more accurate and efficient investment decisions.

Highlights in Business Economics and ManagementVol. 40
Chongqing Technology and Business University (CN), Chongqing University (CN)
Peace, Justice and strong institutions
Openalex Percentile: Top 71%
Economic and Technological Developments in Russia
AI Navigator

Ask Laika to Summarize, Analyze, and Connect papers live on the map.

Summarize Papers & Methodologies

Extract key findings, datasets, and comparative methods across publications.

Benchmark Rankings & Visual Analytics

Rank top research institutions, authors, funders, topics, and journals by Field-Weighted Citation Impact (FWCI) and paper volume with instant charts.

Connect Distant Disciplines

Bridge topological clusters on the map to find hidden collaborative intersections.