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8ecf260 · May 12, 2024

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TODO.md

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TODO

We can make further improvements and add additional features.

  • Utilize ensemble learning on LSTM model
  • Use different historical stock price dataset sources other than Yahoo Finance API
  • Use other time-series model to predict the stock price other than ARIMA (e.g. Stochastic Volatility Model)
  • Add additive decomposition function to compare with the multiplicative decomposition
  • Construct other portfolio for evaluation (e.g. Markowitz’s mean-variance portfolio)
  • Utilize Robust Optimization to get the covariance matrix of the stock log returns
  • Add other risk distribution strategy to get the budget
  • Use other risk measures for the risk parity portfolio (e.g. Conditional Value-at-Risk (CVaR))