We study dynamic portfolio choice of a long-horizon investor who uses deep learning methods to predict equity returns … learning to form optimal portfolios through certainty equivalent returns and Sharpe ratios. We demonstrate that a long …-short-term-memory recurrent neural network, which excels in learning complex time-series dependencies, generates a superior performance among a …

power for expected returns across a range of equity characteristic portfolios and non-equity asset classes, with risk price … estimates that are of the same sign and similar in magnitude. Positive exposure to capital share risk earns a positive risk …