Portfolio Optimization using Predictive Auxiliary Classifier Generative Adversarial Networks with Measuring Uncertainty

In financial engineering, portfolio optimization has been of consistent interest. Portfolio optimization is a process of modulating asset distributions to maximize expected returns and minimize risks. To obtain the expected returns, deep learning models have been explored in recent years. However, due to the deterministic nature of the models, it is difficult to consider the risk of portfolios because conventional deep learning models do not know how reliable their predictions can be. To address...