Portfolio optimization using Artificial Intelligence: a systematic literature review

Portfolio optimization using Artificial Intelligence: a systematic literature review

Artificial intelligence (AI) models can help investors find portfolios in which the focus is to optimize the risk-return relationship. There are several algorithms and techniques in the literature that allow the application of tests to a set of historical data for the selection and validation of inv...

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Veröffentlicht in:Exacta 2024-07, Vol.22 (3), p.766-787
Hauptverfasser: Santos, Gustavo Carvalho, Barboza, Flavio, Veiga, Antônio Cláudio Paschoarelli, Souza, Kamyr Gomes de
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container_end_page 787
container_issue 3
container_start_page 766
container_title Exacta
container_volume 22
creator Santos, Gustavo Carvalho
Barboza, Flavio
Veiga, Antônio Cláudio Paschoarelli
Souza, Kamyr Gomes de
description Artificial intelligence (AI) models can help investors find portfolios in which the focus is to optimize the risk-return relationship. There are several algorithms and techniques in the literature that allow the application of tests to a set of historical data for the selection and validation of investment portfolios. Based on this, this research intends to examine the contribution of the main machine learning techniques used in portfolio management through a systematic literature review. By using the Methodi Ordinatio for selection and ranking of articles, we classified papers considering object of study, type of AI used, period of analysis, data frequency, balance and cardinality. In addition, we detail the main contributions and trends conceived until the year 2020. Therefore, our findings reveal gaps and suggest future works on the topic.
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