Portfolio optimization using Artificial Intelligence: a systematic literature review

Gustavo Carvalho Santos; Flavio Barboza; Antônio Cláudio Paschoarelli Veiga; Kamyr Gomes de Souza

doi:10.5585/exactaep.2022.21882

Autores

Gustavo Carvalho Santos Universidade Federal de Uberlândia / Uberlândia https://orcid.org/0000-0003-0933-5184
Flavio Barboza Universidade Federal de Uberlândia https://orcid.org/0000-0002-3449-5297
Antônio Cláudio Paschoarelli Veiga Universidade Federal de Uberlândia
Kamyr Gomes de Souza Universidade Federal de Uberlândia https://orcid.org/0000-0001-9489-4479

DOI:

https://doi.org/10.5585/exactaep.2022.21882

Palavras-chave:

artificial intelligence, portfolio management, literature review, reinforcement learning

Resumo

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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Biografia do Autor

Gustavo Carvalho Santos, Universidade Federal de Uberlândia / Uberlândia

Doutorando em Processamento Digital de Sinais com pesquisa na área de Inteligência Artificial na Gestão de Carteiras. Universidade Federal de Uberlândia / Uberlândia, MG - Brasil

Flavio Barboza, Universidade Federal de Uberlândia

Professor Doutor na Faculdade de Gestão e Negócios da Universidade Federal de Uberlândia. Universidade Federal de Uberlândia / Uberlândia, MG - Brasil

Antônio Cláudio Paschoarelli Veiga, Universidade Federal de Uberlândia

Professor Dr. na faculdade de engenharia elétrica da Universidade Federal de Uberlândia.

Kamyr Gomes de Souza, Universidade Federal de Uberlândia

Mestre em Ciências Contabeis na Universidade Federal de Uberlândia. Universidade Federal de Uberlândia / Uberlândia, MG - Brasil

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