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Deep learning for decision making and the optimization of socially responsible investments and portfolio

journal contribution
posted on 2024-11-02, 14:01 authored by Nhi Vo, Xuezhong He, Shaowu Liu, Guandong Xu
A socially responsible investment portfolio takes into consideration the environmental, social and governance aspects of companies. It has become an emerging topic for both financial investors and researchers recently. Traditional investment and portfolio theories, which are used for the optimization of financial investment portfolios, are inadequate for decision-making and the construction of an optimized socially responsible investment portfolio. In response to this problem, we introduced a Deep Responsible Investment Portfolio (DRIP) model that contains a Multivariate Bidirectional Long Short-Term Memory neural network, to predict stock returns for the construction of a socially responsible investment portfolio. The deep reinforcement learning technique was adapted to retrain neural networks and rebalance the portfolio periodically. Our empirical data revealed that the DRIP framework could achieve competitive financial performance and better social impact compared to traditional portfolio models, sustainable indexes and funds.

Funding

Reshaping superannuation practice in Australia using big data analytics

Australian Research Council

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History

Journal

Decision Support Systems

Volume

124

Number

113097

Start page

1

End page

11

Total pages

11

Publisher

Elsevier

Place published

Netherlands

Language

English

Copyright

© 2019 Elsevier B.V. All rights reserved.

Former Identifier

2006102146

Esploro creation date

2020-10-28

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