Portfolio Construction using Machine Learning: Comparison between Monte Carlo Method and LASSO Algorithm

U Kai Wong

doi:10.54691/bcpbm.v39i.4158

Authors

U Kai Wong

DOI:

https://doi.org/10.54691/bcpbm.v39i.4158

Keywords:

Machine Learning; Finance; Portfolio Construction.

Abstract

Machine Learning are widely used in manifold fields, in which finance is one of the most recurring fields to be used. One of a popular study in finance is Portfolio construction. This essay is attempting to constructing portfolio using Markowitz Portfolio Theory, Monte Carlo Method and Least Absolute Shrinkage and Selection Operator (LASSO) algorithm and comparing the simulation result. We will use the daily data of components of NASDAQ during 2020 to simulate.

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