Machine Learning in Asset Management—Part 2: Portfolio Construction—Weight Optimization. The Journal of Financial Data Science

Code

• github.com/firmai/machine-learning-asset-management
  none★ 1,735

Abstract

This is the second in a series of articles dealing with machine learning in asset management. This article focuses on portfolio weighting using machine learning. Following from the previous article (Snow 2020), which looked at trading strategies, this article identifies different weight optimization methods for supervised, unsupervised, and reinforcement learning frameworks. In total, seven submethods are summarized with the code made available for further exploration.

Tasks

Reproductions