A Sustainable Portfolio Construction Model Based on ESG and Deep Learning Algorithms: Evidence from the U.S. Market
Sajadi and co-authors (2025) study portfolio optimization in equities using a feedforward neural network. The abstract mentions a Sharpe ratio, an information ratio, excess returns and profits but not a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“Our findings demonstrate that portfolios constructed using the proposed methodology not only achieve the highest returns but also exhibit the lowest volatility, as evidenced by superior Sharpe and Sortino ratios.”
AssetEquities
StrategyPortfolio optimization
TechniqueFeedforward network
GeographyUS
Also stated: Daily, Sharpe ratio, Information ratio, Excess return, Profit, Alternative data
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodPortfolio optimization by year
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