LSTM-Based Portfolio Optimization Across Multi-Market Equity Universes: A Comparative Study of LQ45, DJIA, SSE50, and a Global Portfolio
This study integrates long short-term memory (LSTM) return forecasting with mean-variance optimization across Indonesia’s LQ45, the U.S. DJIA, and China’s SSE50 under a leakage-aware protocol (Jan–Feb 2026, 32 trading days). Forecast-free Minimum Variance proves more robust than LSTM-driven Maximum Sharpe, attaining th...