A hybrid approach for portfolio construction: Combing two‐stage ensemble forecasting model with portfolio optimization
Wei Chen,
Zinuo Liu,
Lifen Jia
Abstract:Combining the stock prediction with portfolio optimization can improve the performance of the portfolio construction. In this article, we propose a novel portfolio construction approach by utilizing a two‐stage ensemble model to forecast stock prices and combining the forecasting results with the portfolio optimization. To be specific, there are two phases in the approach: stock prediction and portfolio optimization. The stock prediction has two stages. In the first stage, three neural networks, that is, multi… Show more
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