Robust Portfolio Selection Under Model Ambiguity Using Deep Learning

In this study, we address the ambiguity in portfolio optimization, particularly focusing on the uncertainty related to the statistical parameters governing asset returns. We propose a novel method that combines robust optimization with artificial neural networks (ANNs). Our approach effectively handles both the randomness inherent in asset prices and the ambiguity in their governing parameters. Through our method, we consider both simulated data, using the Exponential Ornstein–Uhlenbeck process, and real-world stock price data. The results showcase that our ANN-based method outperforms traditional benchmark methods such as equally weighted portfolio and adaptive mean–variance portfolio selection.