paper
Deep Portfolio Theory
J. B. Heaton, N. G. Polson, J. H. Witte
deep learning portfolioarxiv
Description
We construct a deep portfolio theory. By building on Markowitz's classic risk-return trade-off, we develop a self-contained four-step routine of encode, calibrate, validate and verify to formulate an automated and general portfolio selection process. At the heart of our algorithm are deep hierarchical compositions of portfolios constructed in the encoding step. The calibration step then provides multivariate payouts in the form of deep hierarchical portfolios that are designed to target a variet...
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