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Machine Learning in Portfolio Decisions

In: Artificial Intelligence and Beyond for Finance

Author

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  • Massimo Guidolin
Abstract
Machine learning is having a major impact in the development of many fields, including finance, where its domain of application and efficiency impact may be considered limitless. Modern techniques of reinforcement learning have led practitioners and academics to conjecture on the scope of a potential artificial intelligence revolution in portfolio management. In this chapter, we summarize the main strands of machine learning currently used in portfolio decisions and discuss both the current limitations of the algorithms and the dominant conjectures on the future avenues of its extensions.

Suggested Citation

  • Massimo Guidolin, 2024. "Machine Learning in Portfolio Decisions," World Scientific Book Chapters, in: Marco Corazza & RenĂ© Garcia & Faisal Shah Khan & Davide La Torre & Hatem Masri (ed.), Artificial Intelligence and Beyond for Finance, chapter 1, pages 1-72, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9781800615212_0001
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    Keywords

    Artificial Intelligence; Machine Learning; Deep Learning; Reinforcement Learning; Sentiment Analysis; Portfolio Management; Financial Forecasting;
    All these keywords.

    JEL classification:

    • C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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