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Dynamically Controlled Length of Training Data for Sustainable Portfolio Selection

Author

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  • Sarunas Raudys

    (Faculty of Mathematics and Informatics, Institute of Informatics, Vilnius University, Naugarduko st. 24, LT-03225 Vilnius, Lithuania)

  • Aistis Raudys

    (Faculty of Mathematics and Informatics, Institute of Informatics, Vilnius University, Naugarduko st. 24, LT-03225 Vilnius, Lithuania)

  • Zidrina Pabarskaite

    (Faculty of Mathematics and Informatics, Institute of Informatics, Vilnius University, Naugarduko st. 24, LT-03225 Vilnius, Lithuania)

Abstract

In a constantly changing market environment, it is a challenge to construct a sustainable portfolio. One cannot use too long or too short training data to select the right portfolio of investments. When analyzing ten types of recent (up to April 2018) extremely high-dimensional time series from automated trading domains, it was discovered that there is no a priori ‘optimal’ length of training history that would fit all investment tasks. The optimal history length depends of the specificity of the data and varies with time. This statement was also confirmed by the analysis of dozens of multi-dimensional synthetic time series data generated by excitable medium models frequently considered in studies of chaos. An algorithm for determining the optimal length of training history to produce a sustainable portfolio is proposed. Monitoring the size of the learning data can be useful in data mining tasks used in the analysis of sustainability in other research disciplines.

Suggested Citation

  • Sarunas Raudys & Aistis Raudys & Zidrina Pabarskaite, 2018. "Dynamically Controlled Length of Training Data for Sustainable Portfolio Selection," Sustainability, MDPI, vol. 10(6), pages 1-14, June.
    • Handle: RePEc:gam:jsusta:v:10:y:2018:i:6:p:1911-:d:151260
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    Cited by:

    1. Sarunas Raudys & Aistis Raudys & Zidrina Pabarskaite & Ausra Liubaviciute, 2022. "Immunology-Based Sustainable Portfolio Management," Sustainability, MDPI, vol. 14(5), pages 1-11, February.
    2. Seyoung Park & Eun Ryung Lee & Sungchul Lee & Geonwoo Kim, 2019. "Dantzig Type Optimization Method with Applications to Portfolio Selection," Sustainability, MDPI, vol. 11(11), pages 1-32, June.

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