Before revision: The purpose of this paper is to present a new approach to construct optimal portfolios and investment strategies based on stock return predictions. Recurrent Neural Networks (RNNs)  are applied to stock return predictions.
After revision: This paper aims at developing a new method by which to build a data-driven portfolio featuring a target risk-return. We first present a comparative study of recurrent neural network models (RNNs) are applied to stock return predictions.