{"id":"https://openalex.org/W7225615170","doi":"https://doi.org/10.3390/jrfm19110904","title":"Investing in AI Stocks: Machine-Learning Forecasts, Portfolio Strategies, and Stress Tests","display_name":"Investing in AI Stocks: Machine-Learning Forecasts, Portfolio Strategies, and Stress Tests","publication_year":2026,"publication_date":"2026-11-09","ids":{"openalex":"https://openalex.org/W7225615170","doi":"https://doi.org/10.3390/jrfm19110904"},"language":"en","primary_location":{"id":"doi:10.3390/jrfm19110904","doi":"https://doi.org/10.3390/jrfm19110904","is_oa":true,"landing_page_url":"https://doi.org/10.3390/jrfm19110904","pdf_url":null,"source":{"id":"https://openalex.org/S4210217951","display_name":"Journal of risk and financial management","issn_l":"1911-8066","issn":["1911-8066","1911-8074"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["anvur-scientific","cwts-core","poland-20","vabb-shw"],"host_organization":"https://openalex.org/P4310310987","host_organization_name":"Multidisciplinary Digital Publishing Institute","host_organization_lineage":["https://openalex.org/P4310310987"],"host_organization_lineage_names":["Multidisciplinary Digital Publishing Institute"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Risk and Financial Management","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://doi.org/10.3390/jrfm19110904","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5043800122","display_name":"Perry Sadorsky","orcid":"https://orcid.org/0000-0002-1718-6732","observed_orcids":["https://orcid.org/0000-0002-1718-6732"]},"institutions":[{"id":"https://openalex.org/I192455969","display_name":"York University","ror":"https://ror.org/05fq50484","country_code":"CA","type":"education","lineage":["https://openalex.org/I192455969"]}],"countries":["CA"],"is_corresponding":true,"raw_author_name":"Perry Sadorsky","raw_affiliation_strings":["Schulich School of Business, York University, Toronto, ON M3J 1P3, Canada"],"raw_orcid":"https://orcid.org/0000-0002-1718-6732","affiliations":[{"raw_affiliation_string":"Schulich School of Business, York University, Toronto, ON M3J 1P3, Canada","institution_ids":["https://openalex.org/I192455969"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5043800122"],"corresponding_institution_ids":["https://openalex.org/I192455969"],"apc_list":{"value":1400,"currency":"CHF","value_usd":1689},"apc_paid":{"value":1400,"currency":"CHF","value_usd":1689},"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.0,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"19","issue":"11","first_page":"904","last_page":"904"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9907000064849854,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9907000064849854,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.008999999612569809,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11918","display_name":"Forecasting Techniques and Applications","score":9.999999747378752e-05,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/decision-tree-ensembles","display_name":"decision tree ensembles","score":0.7580000162124634},{"id":"https://openalex.org/keywords/portfolio-diversification","display_name":"portfolio diversification","score":0.8619999885559082},{"id":"https://openalex.org/keywords/downside-risk","display_name":"downside risk","score":0.9210000038146973},{"id":"https://openalex.org/keywords/risk-adjusted-returns","display_name":"risk-adjusted returns","score":0.9129999876022339},{"id":"https://openalex.org/keywords/shapley-value","display_name":"Shapley value","score":0.7710000276565552},{"id":"https://openalex.org/keywords/technical-indicators","display_name":"technical indicators","score":0.7289999723434448},{"id":"https://openalex.org/keywords/stress-testing","display_name":"stress testing","score":0.652999997138977},{"id":"https://openalex.org/keywords/market-crashes","display_name":"market crashes","score":0.746999979019165}],"concepts":[{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.7190999984741211},{"id":"https://openalex.org/C139938925","wikidata":"https://www.wikidata.org/wiki/Q1501898","display_name":"Sharpe ratio","level":3,"score":0.656000018119812},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6449999809265137},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5673999786376953},{"id":"https://openalex.org/C180916674","wikidata":"https://www.wikidata.org/wiki/Q3711935","display_name":"Diversification (marketing strategy)","level":2,"score":0.5062999725341797},{"id":"https://openalex.org/C170061395","wikidata":"https://www.wikidata.org/wiki/Q5468164","display_name":"Forecast skill","level":2,"score":0.39500001072883606},{"id":"https://openalex.org/C139819358","wikidata":"https://www.wikidata.org/wiki/Q462748","display_name":"Asset allocation","level":3,"score":0.3935000002384186},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.38830000162124634},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3368000090122223},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.3294000029563904},{"id":"https://openalex.org/C52001869","wikidata":"https://www.wikidata.org/wiki/Q812530","display_name":"Naive Bayes classifier","level":3,"score":0.30889999866485596},{"id":"https://openalex.org/C98965940","wikidata":"https://www.wikidata.org/wiki/Q877496","display_name":"Transaction cost","level":2,"score":0.303600013256073},{"id":"https://openalex.org/C118315980","wikidata":"https://www.wikidata.org/wiki/Q375350","display_name":"Market timing","level":3,"score":0.30169999599456787},{"id":"https://openalex.org/C2776719154","wikidata":"https://www.wikidata.org/wiki/Q1094965","display_name":"Downside risk","level":3,"score":0.2976999878883362},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.27079999446868896},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.26820001006126404},{"id":"https://openalex.org/C103144560","wikidata":"https://www.wikidata.org/wiki/Q2670999","display_name":"Investment strategy","level":3,"score":0.2671999931335449},{"id":"https://openalex.org/C67051015","wikidata":"https://www.wikidata.org/wiki/Q7233558","display_name":"Post-modern portfolio theory","level":5,"score":0.26570001244544983},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.2621000111103058}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.3390/jrfm19110904","doi":"https://doi.org/10.3390/jrfm19110904","is_oa":true,"landing_page_url":"https://doi.org/10.3390/jrfm19110904","pdf_url":null,"source":{"id":"https://openalex.org/S4210217951","display_name":"Journal of risk and financial management","issn_l":"1911-8066","issn":["1911-8066","1911-8074"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["anvur-scientific","cwts-core","poland-20","vabb-shw"],"host_organization":"https://openalex.org/P4310310987","host_organization_name":"Multidisciplinary Digital Publishing Institute","host_organization_lineage":["https://openalex.org/P4310310987"],"host_organization_lineage_names":["Multidisciplinary Digital Publishing Institute"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Risk and Financial Management","raw_type":"journal-article"}],"best_oa_location":{"id":"doi:10.3390/jrfm19110904","doi":"https://doi.org/10.3390/jrfm19110904","is_oa":true,"landing_page_url":"https://doi.org/10.3390/jrfm19110904","pdf_url":null,"source":{"id":"https://openalex.org/S4210217951","display_name":"Journal of risk and financial management","issn_l":"1911-8066","issn":["1911-8066","1911-8074"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["anvur-scientific","cwts-core","poland-20","vabb-shw"],"host_organization":"https://openalex.org/P4310310987","host_organization_name":"Multidisciplinary Digital Publishing Institute","host_organization_lineage":["https://openalex.org/P4310310987"],"host_organization_lineage_names":["Multidisciplinary Digital Publishing Institute"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Risk and Financial Management","raw_type":"journal-article"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320334617","display_name":"Social Sciences and Humanities Research Council of Canada","ror":"https://ror.org/04j5jqy92"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":39,"referenced_works":["https://openalex.org/W333233685","https://openalex.org/W2015800048","https://openalex.org/W2056132907","https://openalex.org/W2163969674","https://openalex.org/W2342352817","https://openalex.org/W2833425706","https://openalex.org/W2911964244","https://openalex.org/W2952179261","https://openalex.org/W3038584219","https://openalex.org/W3041481953","https://openalex.org/W3093016099","https://openalex.org/W3103074365","https://openalex.org/W3110420963","https://openalex.org/W3126081245","https://openalex.org/W3136959963","https://openalex.org/W4205539948","https://openalex.org/W4235256446","https://openalex.org/W4281756923","https://openalex.org/W4313490759","https://openalex.org/W4318757161","https://openalex.org/W4378191509","https://openalex.org/W4385363975","https://openalex.org/W4385490862","https://openalex.org/W4387767162","https://openalex.org/W4388798100","https://openalex.org/W4390811323","https://openalex.org/W4393231013","https://openalex.org/W4394978523","https://openalex.org/W4401924105","https://openalex.org/W4405183747","https://openalex.org/W4406281282","https://openalex.org/W4411151714","https://openalex.org/W4411207243","https://openalex.org/W4414613871","https://openalex.org/W4415954329","https://openalex.org/W4416127915","https://openalex.org/W7122813370","https://openalex.org/W7123341362","https://openalex.org/W7165043453"],"related_works":["https://openalex.org/W7220797849","https://openalex.org/W7169853543","https://openalex.org/W7084062412","https://openalex.org/W2578623692","https://openalex.org/W4409881655","https://openalex.org/W3000530599","https://openalex.org/W4403371754","https://openalex.org/W3016131388","https://openalex.org/W4415710232","https://openalex.org/W4388775662"],"abstract_inverted_index":{"This":[0],"paper":[1],"examines":[2],"whether":[3],"machine-learning":[4],"forecasts":[5,63,169],"of":[6,101,157],"artificial":[7],"intelligence":[8],"(AI)":[9],"exchange-traded":[10],"fund":[11],"(ETF)":[12],"prices":[13],"can":[14,233],"improve":[15],"portfolio":[16,162,175,207],"diversification,":[17],"reduce":[18],"downside":[19,236],"risk,":[20],"and":[21,47,49,67,77,86,88,106,112,139,151,187,228],"increase":[22],"risk-adjusted":[23],"returns":[24],"relative":[25],"to":[26,35,53,58,222],"passive":[27],"diversification":[28,240],"strategies.":[29],"Daily":[30],"data":[31],"from":[32],"November":[33],"2019":[34],"April":[36],"2026":[37],"for":[38,94,214],"four":[39],"AI":[40,242],"sub-sector":[41],"ETFs":[42,165],"(cybersecurity,":[43],"cloud":[44],"computing,":[45],"blockchain,":[46],"robotics":[48],"AI)":[50],"are":[51,142,170,220],"used":[52],"forecast":[54,224],"price":[55,158],"direction":[56],"1":[57],"20":[59],"days":[60],"ahead.":[61],"The":[62],"use":[64],"tree-based":[65],"ensembles":[66,98],"benchmark":[68],"classifiers":[69],"with":[70,147,179,212],"a":[71,180,188,200],"feature":[72],"set":[73],"combining":[74],"technical":[75],"indicators":[76],"business-cycle":[78],"variables.":[79],"Forecast":[80],"accuracy":[81,121],"varies":[82],"by":[83,208],"asset,":[84],"model":[85,91],"horizon,":[87],"no":[89],"single":[90],"is":[92],"best":[93],"all":[95],"ETFs.":[96],"Tree-based":[97],"reach":[99],"accuracies":[100],"60\u201374%":[102],"at":[103],"medium":[104,124],"horizons":[105],"in":[107,120],"most":[108,144],"cases":[109],"outperform":[110],"logit":[111],"Na\u00efve":[113],"Bayes":[114],"benchmarks.":[115],"Tree":[116],"bagging":[117],"ranks":[118],"high":[119],"over":[122],"the":[123,133,143,155,205,215],"horizon.":[125],"Shapley":[126],"values":[127],"show":[128,198],"that":[129,163,199,238],"five-year":[130],"breakeven":[131],"inflation,":[132],"200-day":[134],"moving":[135],"average,":[136],"on-balance":[137],"volume":[138],"Williams":[140],"accumulation/distribution":[141],"important":[145],"features,":[146],"higher":[148,181],"inflation":[149],"expectations":[150],"overbought":[152],"conditions":[153],"lowering":[154],"probability":[156],"gains.":[159],"A":[160],"switching":[161,206],"holds":[164],"only":[166],"when":[167],"5-day":[168],"positive":[171],"outperforms":[172],"an":[173],"equal-weighted":[174,216],"after":[176],"transaction":[177],"costs,":[178,227],"Sharpe":[182],"ratio":[183],"(5.65":[184],"versus":[185,194],"0.02)":[186],"much":[189],"smaller":[190],"maximum":[191],"drawdown":[192],"(3.0%":[193],"26.2%).":[195],"Stress":[196],"tests":[197],"20%":[201],"market":[202],"crash":[203],"reduces":[204],"about":[209],"5%,":[210],"compared":[211],"22%":[213],"portfolio.":[217],"These":[218],"results":[219],"robust":[221],"different":[223],"horizons,":[225],"trading":[226],"rebalancing":[229],"periods.":[230],"Forecast-driven":[231],"allocation":[232],"therefore":[234],"provide":[235],"protection":[237],"static":[239],"across":[241],"assets":[243],"does":[244],"not.":[245]},"counts_by_year":[],"updated_date":"2026-11-11T12:16:26.678958","created_date":"2026-11-10T00:00:00"}
