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<p>The public release of ChatGPT represents a significant milestone in generative AI technology, enabling the autonomous generation of content based on pre-training. This breakthrough presents new opportunities for advancements in the field of portfolio selection. This paper aims to introduce a comprehensive portfolio selection method by applying ChatGPT for stock selection and combining it with optimization algorithms to jointly optimize portfolio selection. Compared to randomly selected stocks, the portfolios optimized using ChatGPT-selected stocks and solved with the egret swarm optimization algorithm (ESOA) demonstrate higher diversification and lower volatility, leading to superior portfolio optimization results. Additionally, to validate ESOA’s superiority, its performance is compared against genetic algorithm (GA) and particle swarm optimization (PSO) on five metrics: risk, expected return, Sharpe ratio, objective value, and penalty term. Under equivalent experimental setting, ESOA exhibits a better ability to balance the relationship between risk and return.</p>

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Leveraging ChatGPT for enhanced stock selection and portfolio optimization

  • 期刊论文

  • 发表日期：

    2025年1月9日

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  • Zhendai Huang,
  • Bolin Liao,
  • Cheng Hua,
  • Xinwei Cao,
  • Shuai Li

摘要

The public release of ChatGPT represents a significant milestone in generative AI technology, enabling the autonomous generation of content based on pre-training. This breakthrough presents new opportunities for advancements in the field of portfolio selection. This paper aims to introduce a comprehensive portfolio selection method by applying ChatGPT for stock selection and combining it with optimization algorithms to jointly optimize portfolio selection. Compared to randomly selected stocks, the portfolios optimized using ChatGPT-selected stocks and solved with the egret swarm optimization algorithm (ESOA) demonstrate higher diversification and lower volatility, leading to superior portfolio optimization results. Additionally, to validate ESOA’s superiority, its performance is compared against genetic algorithm (GA) and particle swarm optimization (PSO) on five metrics: risk, expected return, Sharpe ratio, objective value, and penalty term. Under equivalent experimental setting, ESOA exhibits a better ability to balance the relationship between risk and return.