sparse portfolio

DataFunSummit

Mar 26, 2022 · Artificial Intelligence

Deep Learning‑Based Design of Financial Index Funds Using Graph Neural Networks

This talk presents a deep‑learning framework that formulates financial index‑fund construction as a sparse portfolio optimization problem, solves the mixed‑integer programming via a two‑stage graph‑neural‑network pipeline, and demonstrates superior tracking performance and scalability on large‑scale index datasets.