Large-scale Recommendation for Portfolio Optimization

被引:8
|
作者
Swezey, Robin M. E. [1 ]
Charron, Bruno [1 ]
机构
[1] Rakuten Inst Technol, Setagaya Ku, Rakuten Crimson House,1-14-1 Tamagawa, Tokyo 1580094, Japan
关键词
Recommender Systems; Collaborative Filtering; Modern Portfolio Theory; MARKET DATA; SYSTEM;
D O I
10.1145/3240323.3240386
中图分类号
TP18 [人工智能理论];
学科分类号
081104 ; 0812 ; 0835 ; 1405 ;
摘要
Individual investors are now massively using online brokers to trade stocks with convenient interfaces and low fees, albeit losing the advice and personalization traditionally provided by full-service brokers. We frame the problem faced by online brokers of replicating this level of service in a low-cost and automated manner for a very large number of users. Because of the care required in recommending financial products, we focus on a risk-management approach tailored to each user's portfolio and risk profile. We show that our hybrid approach, based on Modern Portfolio Theory and Collaborative Filtering, provides a sound and effective solution. The method is applicable to stocks as well as other financial assets, and can be easily combined with various financial forecasting models. We validate our proposal by comparing it with several baselines in a domain expert-based study.
引用
收藏
页码:382 / 386
页数:5
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