Portfolio Optimization using Artificial Intelligence: A Systematic Literature Review

Gustavo Carvalho Santos, Flavio Barboza, Antônio Cláudio Paschoarelli Veiga, Kamyr Gomes


Artificial intelligence (AI) models can help investors find portfolios in which the focus is to optimize the risk-return relationship. There are several algorithms and techniques in the literature that allow the application of tests to a set of historical data for the selection and validation of investment portfolios. Based on this, this research intends to examine the contribution of the main machine learning techniques used in portfolio management through a systematic literature review. By using the Methodi Ordinatio for selection and ranking of articles, we classified papers considering object of study, type of AI used, period of analysis, data frequency, balance and cardinality. In addition, we detail the main contributions and trends conceived until the year 2020. Therefore, our findings reveal gaps and suggest future works on the topic.


Artificial Intelligence, Portfolio Management, Literature Review

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DOI: https://doi.org/10.5585/exactaep.2022.21882

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