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Portfolio Optimization using Deep learning.

Ahmet Ozkan Demir, Kwok Wai Ma, Amey Kaloti


Portfolio optimization is a fundamental problem in finance. Modern portfolio theory introduced by Markowitz assumes that an investor aims to maximize portfolios expected return contingent on the amount of risk. Classical approaches require solving a convex optimization problem. In this project we use deep learning to solve the portfolio optimization problem for a collection of stocks.

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