Financial Portfolio Management with Deep Learning

Financial Portfolio theories are one of the important achievements in financial economics in the last XX Century. One such theory goes by the designation of Markowitz Portfolio Theory or Modern Portfolio Theory, named after Nobel Prize in Economic Sciences winner Harry Markowitz. We read the Wikipedia entry for this theory and we can immediately confirm it as a mathematical and statistical theory at its core. And if it is mathematical and statistical at its core it is well positioned to be improved and enhanced by an algorithmic, computational approach. And that is the case with our paper's proposal: it is another one software approach to Portfolio Theory that turns the problem of finding the best efficient frontier predicted by the theory into a mathematical optimization problem, but from the new machine learning/deep learning perspective.