Abstract:The purpose of this paper is to examine the application of LSTM and mean variance portfolio optimization in Chinese stock market. 20 stocks are selected from CSI 300 components, we collect their High, Low, Open, Adjust Close and trade volume from June 16th 2020 to June 16th 2022. Then we use LSTM model to forecast the stock price. The forecast results are used to construct 2 portfolios. One portfolio maximize Sharpe ratio, the other portfolio minimize variance. From April 6th to June 16th 2022, the Maximize Sh… Show more
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