Portfolio_Optimization

Introduction

Portfolio Optimization Using Machine Learning and Deep Learning methods to predict rate of return. Then use the predicted date to build portfolio optimization models.

Problems to slove

• Tradtional Mean-Variance model use mean return as rate of return, but that's not suitable for short term investment;
• Nomal distuibution hypothesis not always works in reality;
• Variance to stand the risk of investment is too roughly;

Plan

Data Update

• First use data of hs300 to test this method;
• Then more data of stocks will be used;

Methods Update

• First use linear regrssion;
• Then use xgboost and so on;

Constraintion Update

• Add the views of investors to the model;
• Others