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Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Anna Gordeeva
Optimal Investment Portfolio Construction by Using Methods of Machine Learning
Economics
(Bachelor’s programme)
2018
Annotation

One of the main objectives of any investor, who deals with securities, is to invest money in such assets, which will bring him the maximum level of profitability with the smallest possibility of risk. For this purpose, an investment portfolio of securities on the stock market is usually formed of different types of assets. This strategy helps to optimize this portfolio of securities in the way of risk and return. Using certain methods of portfolio formation, the investor chooses a combination of different types of securities. This paper compares one of the most well-known economic and mathematical models for selecting an effective portfolio - the Harry Markowitz optimization model - with a relatively new method - the use of machine learning, in particular, the neural network. The result will be a comparison of this two models, as well as their hybrid modification in complexity and quality of their efficiency.

Keywords: optimal investment portfolio, investor, neural network, machine learning, the Markowitz model.

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