{"id":"https://openalex.org/W4386603770","doi":"https://doi.org/10.3233/faia230238","title":"Portfolio Optimization for Long-Term Investment: An Empirical Study","display_name":"Portfolio Optimization for Long-Term Investment: An Empirical Study","publication_year":2023,"publication_date":"2023-09-08","ids":{"openalex":"https://openalex.org/W4386603770","doi":"https://doi.org/10.3233/faia230238"},"language":"en","primary_location":{"id":"doi:10.3233/faia230238","is_oa":false,"landing_page_url":"http://dx.doi.org/10.3233/faia230238","pdf_url":null,"source":{"id":"https://openalex.org/S4210201731","display_name":"Frontiers in artificial intelligence and applications","issn_l":"0922-6389","issn":["0922-6389","1879-8314"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Frontiers in Artificial Intelligence and Applications","raw_type":"book-chapter"},"type":"book-chapter","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5092845033","display_name":"Thuy-An Phan-Thi","orcid":null},"institutions":[{"id":"https://openalex.org/I23582244","display_name":"Ho Chi Minh City University of Science","ror":"https://ror.org/05jfbgm49","country_code":"VN","type":"education","lineage":["https://openalex.org/I123565023","https://openalex.org/I23582244"]},{"id":"https://openalex.org/I123565023","display_name":"Vietnam National University Ho Chi Minh City","ror":"https://ror.org/00waaqh38","country_code":"VN","type":"education","lineage":["https://openalex.org/I123565023"]}],"countries":["VN"],"is_corresponding":true,"raw_author_name":"Thuy-An Phan-Thi","raw_affiliation_strings":["AISIA Research Lab, Ho Chi Minh City, Vietnam","University of Science, Ho Chi Minh City, Vietnam","Vietnam National University, Ho Chi Minh City, Vietnam","AISIA Research Lab, Ho Chi Minh City, Vietnam; University of Science, Ho Chi Minh City, Vietnam; Vietnam National University, Ho Chi Minh City, Vietnam"],"affiliations":[{"raw_affiliation_string":"AISIA Research Lab, Ho Chi Minh City, Vietnam","institution_ids":[]},{"raw_affiliation_string":"University of Science, Ho Chi Minh City, Vietnam","institution_ids":["https://openalex.org/I23582244"]},{"raw_affiliation_string":"Vietnam National University, Ho Chi Minh City, Vietnam","institution_ids":["https://openalex.org/I123565023"]},{"raw_affiliation_string":"AISIA Research Lab, Ho Chi Minh City, Vietnam; University of Science, Ho Chi Minh City, Vietnam; Vietnam National University, Ho Chi Minh City, Vietnam","institution_ids":["https://openalex.org/I123565023"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5101243040","display_name":"Nu T. Dinh","orcid":null},"institutions":[{"id":"https://openalex.org/I23582244","display_name":"Ho Chi Minh City University of Science","ror":"https://ror.org/05jfbgm49","country_code":"VN","type":"education","lineage":["https://openalex.org/I123565023","https://openalex.org/I23582244"]},{"id":"https://openalex.org/I123565023","display_name":"Vietnam National University Ho Chi Minh City","ror":"https://ror.org/00waaqh38","country_code":"VN","type":"education","lineage":["https://openalex.org/I123565023"]}],"countries":["VN"],"is_corresponding":false,"raw_author_name":"Nu T. Dinh","raw_affiliation_strings":["University of Science, Ho Chi Minh City, Vietnam","Vietnam National University, Ho Chi Minh City, Vietnam","University of Science, Ho Chi Minh City, Vietnam; Vietnam National University, Ho Chi Minh City, Vietnam"],"affiliations":[{"raw_affiliation_string":"University of Science, Ho Chi Minh City, Vietnam","institution_ids":["https://openalex.org/I23582244"]},{"raw_affiliation_string":"Vietnam National University, Ho Chi Minh City, Vietnam","institution_ids":["https://openalex.org/I123565023"]},{"raw_affiliation_string":"University of Science, Ho Chi Minh City, Vietnam; Vietnam National University, Ho Chi Minh City, Vietnam","institution_ids":["https://openalex.org/I123565023"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5034456467","display_name":"Son Huynh Thanh","orcid":null},"institutions":[{"id":"https://openalex.org/I23582244","display_name":"Ho Chi Minh City University of Science","ror":"https://ror.org/05jfbgm49","country_code":"VN","type":"education","lineage":["https://openalex.org/I123565023","https://openalex.org/I23582244"]},{"id":"https://openalex.org/I123565023","display_name":"Vietnam National University Ho Chi Minh City","ror":"https://ror.org/00waaqh38","country_code":"VN","type":"education","lineage":["https://openalex.org/I123565023"]}],"countries":["VN"],"is_corresponding":false,"raw_author_name":"Son Huynh Thanh","raw_affiliation_strings":["AISIA Research Lab, Ho Chi Minh City, Vietnam","University of Science, Ho Chi Minh City, Vietnam","Vietnam National University, Ho Chi Minh City, Vietnam","AISIA Research Lab, Ho Chi Minh City, Vietnam; University of Science, Ho Chi Minh City, Vietnam; Vietnam National University, Ho Chi Minh City, Vietnam"],"affiliations":[{"raw_affiliation_string":"AISIA Research Lab, Ho Chi Minh City, Vietnam","institution_ids":[]},{"raw_affiliation_string":"University of Science, Ho Chi Minh City, Vietnam","institution_ids":["https://openalex.org/I23582244"]},{"raw_affiliation_string":"Vietnam National University, Ho Chi Minh City, Vietnam","institution_ids":["https://openalex.org/I123565023"]},{"raw_affiliation_string":"AISIA Research Lab, Ho Chi Minh City, Vietnam; University of Science, Ho Chi Minh City, Vietnam; Vietnam National University, Ho Chi Minh City, Vietnam","institution_ids":["https://openalex.org/I123565023"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5051882105","display_name":"Binh T. Nguyen","orcid":"https://orcid.org/0000-0001-5249-9702"},"institutions":[{"id":"https://openalex.org/I23582244","display_name":"Ho Chi Minh City University of Science","ror":"https://ror.org/05jfbgm49","country_code":"VN","type":"education","lineage":["https://openalex.org/I123565023","https://openalex.org/I23582244"]},{"id":"https://openalex.org/I123565023","display_name":"Vietnam National University Ho Chi Minh City","ror":"https://ror.org/00waaqh38","country_code":"VN","type":"education","lineage":["https://openalex.org/I123565023"]}],"countries":["VN"],"is_corresponding":false,"raw_author_name":"Binh T. Nguyen","raw_affiliation_strings":["AISIA Research Lab, Ho Chi Minh City, Vietnam","University of Science, Ho Chi Minh City, Vietnam","Vietnam National University, Ho Chi Minh City, Vietnam","AISIA Research Lab, Ho Chi Minh City, Vietnam; University of Science, Ho Chi Minh City, Vietnam; Vietnam National University, Ho Chi Minh City, Vietnam"],"affiliations":[{"raw_affiliation_string":"AISIA Research Lab, Ho Chi Minh City, Vietnam","institution_ids":[]},{"raw_affiliation_string":"University of Science, Ho Chi Minh City, Vietnam","institution_ids":["https://openalex.org/I23582244"]},{"raw_affiliation_string":"Vietnam National University, Ho Chi Minh City, Vietnam","institution_ids":["https://openalex.org/I123565023"]},{"raw_affiliation_string":"AISIA Research Lab, Ho Chi Minh City, Vietnam; University of Science, Ho Chi Minh City, Vietnam; Vietnam National University, Ho Chi Minh City, Vietnam","institution_ids":["https://openalex.org/I123565023"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5092845033"],"corresponding_institution_ids":["https://openalex.org/I123565023","https://openalex.org/I23582244"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.41213135,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9930999875068665,"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":0.9930999875068665,"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/T11052","display_name":"Energy Load and Power Forecasting","score":0.975600004196167,"subfield":{"id":"https://openalex.org/subfields/2208","display_name":"Electrical and Electronic Engineering"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T11918","display_name":"Forecasting Techniques and Applications","score":0.9556000232696533,"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/sharpe-ratio","display_name":"Sharpe ratio","score":0.658811628818512},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.6212940812110901},{"id":"https://openalex.org/keywords/investment-strategy","display_name":"Investment strategy","score":0.5526102185249329},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.5486191511154175},{"id":"https://openalex.org/keywords/stock-market","display_name":"Stock market","score":0.5351952314376831},{"id":"https://openalex.org/keywords/investment-performance","display_name":"Investment performance","score":0.49220791459083557},{"id":"https://openalex.org/keywords/investment","display_name":"Investment (military)","score":0.48574262857437134},{"id":"https://openalex.org/keywords/term","display_name":"Term (time)","score":0.48378512263298035},{"id":"https://openalex.org/keywords/stock","display_name":"Stock (firearms)","score":0.45127007365226746},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4479682445526123},{"id":"https://openalex.org/keywords/modern-portfolio-theory","display_name":"Modern portfolio theory","score":0.4468749165534973},{"id":"https://openalex.org/keywords/post-modern-portfolio-theory","display_name":"Post-modern portfolio theory","score":0.43804675340652466},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.43374887108802795},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.4149775803089142},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.36970967054367065},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.34587258100509644},{"id":"https://openalex.org/keywords/return-on-investment","display_name":"Return on investment","score":0.2198197841644287},{"id":"https://openalex.org/keywords/replicating-portfolio","display_name":"Replicating portfolio","score":0.2009396255016327},{"id":"https://openalex.org/keywords/microeconomics","display_name":"Microeconomics","score":0.166587233543396},{"id":"https://openalex.org/keywords/engineering","display_name":"Engineering","score":0.1652592122554779},{"id":"https://openalex.org/keywords/profit","display_name":"Profit (economics)","score":0.07463335990905762}],"concepts":[{"id":"https://openalex.org/C139938925","wikidata":"https://www.wikidata.org/wiki/Q1501898","display_name":"Sharpe ratio","level":3,"score":0.658811628818512},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6212940812110901},{"id":"https://openalex.org/C103144560","wikidata":"https://www.wikidata.org/wiki/Q2670999","display_name":"Investment strategy","level":3,"score":0.5526102185249329},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.5486191511154175},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.5351952314376831},{"id":"https://openalex.org/C26584437","wikidata":"https://www.wikidata.org/wiki/Q6060874","display_name":"Investment performance","level":4,"score":0.49220791459083557},{"id":"https://openalex.org/C27548731","wikidata":"https://www.wikidata.org/wiki/Q88272","display_name":"Investment (military)","level":3,"score":0.48574262857437134},{"id":"https://openalex.org/C61797465","wikidata":"https://www.wikidata.org/wiki/Q1188986","display_name":"Term (time)","level":2,"score":0.48378512263298035},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.45127007365226746},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4479682445526123},{"id":"https://openalex.org/C9725762","wikidata":"https://www.wikidata.org/wiki/Q1072885","display_name":"Modern portfolio theory","level":3,"score":0.4468749165534973},{"id":"https://openalex.org/C67051015","wikidata":"https://www.wikidata.org/wiki/Q7233558","display_name":"Post-modern portfolio theory","level":5,"score":0.43804675340652466},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.43374887108802795},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4149775803089142},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.36970967054367065},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.34587258100509644},{"id":"https://openalex.org/C169549615","wikidata":"https://www.wikidata.org/wiki/Q939134","display_name":"Return on investment","level":3,"score":0.2198197841644287},{"id":"https://openalex.org/C21099588","wikidata":"https://www.wikidata.org/wiki/Q7314068","display_name":"Replicating portfolio","level":4,"score":0.2009396255016327},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.166587233543396},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.1652592122554779},{"id":"https://openalex.org/C181622380","wikidata":"https://www.wikidata.org/wiki/Q26911","display_name":"Profit (economics)","level":2,"score":0.07463335990905762},{"id":"https://openalex.org/C2780762169","wikidata":"https://www.wikidata.org/wiki/Q5905368","display_name":"Horse","level":2,"score":0.0},{"id":"https://openalex.org/C94625758","wikidata":"https://www.wikidata.org/wiki/Q7163","display_name":"Politics","level":2,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C78519656","wikidata":"https://www.wikidata.org/wiki/Q101333","display_name":"Mechanical engineering","level":1,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.3233/faia230238","is_oa":false,"landing_page_url":"http://dx.doi.org/10.3233/faia230238","pdf_url":null,"source":{"id":"https://openalex.org/S4210201731","display_name":"Frontiers in artificial intelligence and applications","issn_l":"0922-6389","issn":["0922-6389","1879-8314"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Frontiers in Artificial Intelligence and Applications","raw_type":"book-chapter"}],"best_oa_location":null,"sustainable_development_goals":[{"display_name":"Industry, innovation and infrastructure","id":"https://metadata.un.org/sdg/9","score":0.4099999964237213}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":0,"referenced_works":[],"related_works":["https://openalex.org/W4327968198","https://openalex.org/W2342245948","https://openalex.org/W3123514471","https://openalex.org/W2375648360","https://openalex.org/W70977122","https://openalex.org/W4381469024","https://openalex.org/W4327791869","https://openalex.org/W4231967876","https://openalex.org/W2188214718","https://openalex.org/W2226736392"],"abstract_inverted_index":{"In":[0,30,185],"today\u2019s":[1],"economic":[2],"era,":[3],"investment":[4,37,42,88],"in":[5,22],"the":[6,14,70,82,87,91,146,159,163,168,174,188,192,202],"stock":[7,128],"market":[8,141],"has":[9],"become":[10],"increasingly":[11],"widespread,":[12],"and":[13,48,67,158],"philosophy":[15],"of":[16,145,148,162],"\u201cDon\u2019t":[17],"put":[18],"all":[19],"your":[20],"eggs":[21],"one":[23],"basket!\u201d":[24],"is":[25,113,165,206],"commonly":[26],"adopted":[27],"by":[28,124],"investors.":[29],"other":[31,183],"words,":[32],"they":[33],"will":[34],"have":[35,64],"appropriate":[36],"portfolios":[38,89],"to":[39,45,56,61,69,85,133,153,182],"diversify":[40],"their":[41],"plan,":[43],"aiming":[44],"reduce":[46],"risks":[47],"improve":[49],"returns.":[50],"Many":[51],"models,":[52,80],"from":[53,59,131],"machine":[54],"learning":[55,79],"deep":[57,78],"learning,":[58],"traditional":[60],"modern":[62],"methodologies,":[63],"been":[65],"proposed":[66],"applied":[68],"\u201cportfolio":[71],"optimization\u201d":[72],"problem.":[73],"This":[74],"study":[75],"uses":[76],"several":[77],"combining":[81],"attention":[83,175],"mechanism":[84],"predict":[86],"with":[90,126,135,138,173],"highest":[92],"Sharpe":[93,160],"ratio":[94,161],"over":[95,108],"a":[96,106,109,139],"certain":[97],"period.":[98],"Our":[99],"research":[100],"investigates":[101],"whether":[102],"long-term":[103],"investing":[104],"(forecasting":[105],"portfolio":[107,164],"month":[110],"or":[111],"longer)":[112],"more":[114,155],"effective":[115],"than":[116,200],"Short-term":[117],"investment.":[118],"We":[119],"obtained":[120],"some":[121],"initial":[122],"results":[123,180,199],"experimenting":[125],"Vietnam\u2019s":[127],"data":[129,190,204],"set":[130],"2016":[132],"2020,":[134],"50":[136],"stocks":[137],"high":[140],"capitalization":[142],"(data":[143],"as":[144],"end":[147],"2020).":[149],"Long-term":[150],"investments":[151],"tend":[152],"provide":[154],"stable":[156],"returns,":[157],"higher.":[166],"Moreover,":[167],"bidirectional":[169],"GRU":[170],"model,":[171],"combined":[172],"mechanism,":[176],"gives":[177],"quite":[178],"good":[179],"compared":[181],"models.":[184],"addition,":[186],"processing":[187],"missing":[189,203],"using":[191],"forward":[193],"fill":[194],"method":[195],"also":[196],"shows":[197],"better":[198],"when":[201],"problem":[205],"not":[207],"addressed.":[208]},"counts_by_year":[],"updated_date":"2025-12-19T19:40:27.379048","created_date":"2025-10-10T00:00:00"}
