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Machine Learning in Asset Management—Part 2: Portfolio Construction—Weight Optimization. The Journal of Financial Data Science

26 Mar 2020Journal of Financial Data Science 2020 3archive 2025-07-28

Dr Derek Snow

This is the second in a series of articles dealing with machine learning in asset management. This article focuses on portfolio weighting using machine learning. Following from the previous article (Snow 2020), which looked at trading strategies, this article identifies different weight optimization methods for supervised, unsupervised, and reinforcement learning frameworks. In total, seven submethods are summarized with the code made available for further exploration.

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firmai/machine-learning-asset-management report

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Articles Asset Management BIG-bench Machine Learning Management Reinforcement Learning Reinforcement Learning (RL)reinforcement-learning

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