Investment portfolio selection using machine learning techniques
The stock market is a crucial component of the financial market, influenced by various factors and exhibiting intrinsic patterns of change. Effective stock selec- tion is a key focus for researchers and practitioners. Traditional stock selection methods include multiple regression analysis and multi...
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sg-ntu-dr.10356-1808872024-11-01T15:45:54Z Investment portfolio selection using machine learning techniques Wang, Siyang Mao Kezhi School of Electrical and Electronic Engineering EKZMao@ntu.edu.sg Computer and Information Science Engineering Portfolio The stock market is a crucial component of the financial market, influenced by various factors and exhibiting intrinsic patterns of change. Effective stock selec- tion is a key focus for researchers and practitioners. Traditional stock selection methods include multiple regression analysis and multi-factor scoring, but these have limitations such as sensitivity to outliers and reliance on subjective weight assignment, respectively. This paper explores the application of several ensem- ble learning methods for stock selection and integrates these with the Markowitz portfolio theory to optimize investment portfolios, thereby enhancing investment returns. The main contributions of this work are: (1) Constructing a stock fea- ture indicator database, selecting key features using the RankIC method, and conducting effectiveness and correlation analyses; (2) Utilizing various machine learning models, including Decision Trees, Random Forests, AdaBoost, and XG- Boost, to evaluate their predictive power and generalization ability; (3) Optimiz- ing the Markowitz portfolio model based on model predictions and proposing an improved portfolio optimization method that maintains high investment re- turns while reducing overall risk. Empirical analysis validates the effectiveness of the proposed methods, offering new approaches and tools for stock selection and portfolio optimization. Master's degree 2024-11-01T10:53:11Z 2024-11-01T10:53:11Z 2024 Thesis-Master by Coursework Wang, S. (2024). Investment portfolio selection using machine learning techniques. Master's thesis, Nanyang Technological University, Singapore. https://hdl.handle.net/10356/180887 https://hdl.handle.net/10356/180887 en application/pdf Nanyang Technological University |
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The stock market is a crucial component of the financial market, influenced by various factors and exhibiting intrinsic patterns of change. Effective stock selec- tion is a key focus for researchers and practitioners. Traditional stock selection methods include multiple regression analysis and multi-factor scoring, but these have limitations such as sensitivity to outliers and reliance on subjective weight assignment, respectively. This paper explores the application of several ensem- ble learning methods for stock selection and integrates these with the Markowitz portfolio theory to optimize investment portfolios, thereby enhancing investment returns. The main contributions of this work are: (1) Constructing a stock fea- ture indicator database, selecting key features using the RankIC method, and conducting effectiveness and correlation analyses; (2) Utilizing various machine learning models, including Decision Trees, Random Forests, AdaBoost, and XG- Boost, to evaluate their predictive power and generalization ability; (3) Optimiz- ing the Markowitz portfolio model based on model predictions and proposing an improved portfolio optimization method that maintains high investment re- turns while reducing overall risk. Empirical analysis validates the effectiveness of the proposed methods, offering new approaches and tools for stock selection and portfolio optimization. |
author2 |
Mao Kezhi |
author_facet |
Mao Kezhi Wang, Siyang |
format |
Thesis-Master by Coursework |
author |
Wang, Siyang |
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Wang, Siyang |
title |
Investment portfolio selection using machine learning techniques |
title_short |
Investment portfolio selection using machine learning techniques |
title_full |
Investment portfolio selection using machine learning techniques |
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Investment portfolio selection using machine learning techniques |
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Investment portfolio selection using machine learning techniques |
title_sort |
investment portfolio selection using machine learning techniques |
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Nanyang Technological University |
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2024 |
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https://hdl.handle.net/10356/180887 |
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1814777768094728192 |