量化前沿速递：FOF及资配[20240714]

量化前沿速递 · 公众号 · · 2024-07-15 12:00

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[1] Performance Analysis of Portfolios that Combine Machine Learning Models And Multi-Objective Optimization in the Brazilian Stock Market

巴西股市结合机器学习模型和多目标优化的投资组合绩效分析

来源:SSRN_20240712

[1] Performance Analysis of Portfolios that Combine Machine Learning Models And Multi-Objective Optimization in the Brazilian Stock Market

标题:巴西股市结合机器学习模型和多目标优化的投资组合绩效分析

作者:Natan Felipe silva,Lélis Andrade,Washington Santos Silva,Maísa Kely de Melo,Paulo Henrique Sales Guimarães

来源:SSRN_20240712

Abstract : This work aims to evaluate the performance of portfolios composed of pre-selected assets through machine learning models and subsequently optimized by the multi-objective model. The methodology involves the application of the machine learning algorithms Random Forest (RF), eXtreme Gradient Boosting (XGBoost) and Multilayer Perceptron (MLP) to perform the pre-selection of stocks. This selection is based on pre-defined technical indicators after a......(摘要翻译及全文见知识星球)

Keywords : Machine Learning, Portfolio, Random forest (RF), Multi-objective optimization, Brazil