An LSTM-GAT model with news sentiment, trained end-to-end to maximize the Sharpe ratio, beat equal-weight and CAPM-MVO benchmarks on a nine-stock US portfolio from early 2024 to mid 2025.
Graph neural networks for deep portfolio optimization
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From Headlines to Holdings: Deep Learning for Smarter Portfolio Decisions
An LSTM-GAT model with news sentiment, trained end-to-end to maximize the Sharpe ratio, beat equal-weight and CAPM-MVO benchmarks on a nine-stock US portfolio from early 2024 to mid 2025.