PFA – BSIC | Bocconi Students Investment Club

Portfolio Creation and Optimization through Machine Learning

Download PDF Abstract In this study, we propose a two-step methodology for the creation and optimization of investment portfolios utilizing machine learning techniques. Our analysis focuses on S&P 500 stocks from 2008 to 2022, incorporating fundamental data, stock prices, and macroeconomic variables as features in our models. The initial phase Read more…

By BSIC, 12 months7 July 2024 ago

Markets

Feature Selection and Engineering for Time Series Data

Download PDF Introduction Feature engineering and selection are crucial for optimizing machine learning models. Through thoughtful feature engineering, models can capture essential insights from the data, which may otherwise remain hidden, thereby improving the predictive accuracy. On the other hand, effective feature selection reduces model complexity, which not only speeds Read more…

By BSIC, 1 year14 April 2024 ago