I am excited to announce that Dr. Joel Ong has successfully defended his thesis on Modern Portfolio Construction with Advanced Deep Learning Models as part of the AIFi Lab at SUTD. It has been a pleasure to supervise Joel and guide him through his exploration of various multitask architectures and mixture of expert models, all aimed at leveraging deep learning for effective portfolio construction.

You can read the full thesis here or below the abstract.

Congratulations to Joel Ong on publishing our paper on using multi-task deep learning for porfolio construction in Expert Systems with Applications. The paper presents a new way to leverage time series momentum in a deep learning setting. Read a Twitter thread explaining the basics here.