{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/deep-portfolio-theory","title":"Deep Portfolio Theory","arxiv_id":"1605.07230","date":"2016-05-23","proceeding":null,"authors":["J. B. Heaton","N. G. Polson","J. H. Witte"],"abstract":"We construct a deep portfolio theory. By building on Markowitz's classic\nrisk-return trade-off, we develop a self-contained four-step routine of encode,\ncalibrate, validate and verify to formulate an automated and general portfolio\nselection process. At the heart of our algorithm are deep hierarchical\ncompositions of portfolios constructed in the encoding step. The calibration\nstep then provides multivariate payouts in the form of deep hierarchical\nportfolios that are designed to target a variety of objective functions. The\nvalidate step trades-off the amount of regularization used in the encode and\ncalibrate steps. The verification step uses a cross validation approach to\ntrace out an ex post deep portfolio efficient frontier. We demonstrate all four\nsteps of our portfolio theory numerically.","url_abs":"http://arxiv.org/abs/1605.07230v2","url_pdf":"http://arxiv.org/pdf/1605.07230v2.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"abstracts"},"code_links":[{"paper_slug":"deep-portfolio-theory","repo_url":"https://github.com/firmai/machine-learning-asset-management","is_official":0,"mentioned_in_paper":0,"mentioned_in_github":1,"framework":"none","reach":null}],"tasks":[],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"atlas_url":"https://app.syntology.ai/?focus=1605.07230","mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}