Deep Portfolio Theory

Understand

We construct a deep portfolio theory.

• By building on Markowitz's classic risk-return trade-off, we develop a self-contained four-step routine of encode, calibrate, validate and verify to formulate an automated and general portfolio selection process.
• At the heart of our algorithm are deep hierarchical compositions of portfolios constructed in the encoding step.
• The calibration step then provides multivariate payouts in the form of deep hierarchical portfolios that are designed to target a variety of objective functions.