AI-based Financial Engineering

Portfolio Management using Two-stage Deep Learning

Figure 3-1. (Left) Correlation in ETFs; (Right) Two-stage deep learning for portfolio management.

There have been many studies addressing AI-based financial engineering. However, most of the studies aim to predict only market prices of stocks which can be hardly applied to actual financial fund in terms of portfolio management. To handle the problem, we proposed a two-stage deep learning procedures where we estimate the prices in the first stage, and then predict the optimal portfolio weights for each sectors in the second stage.