Before revision:  For this purpose, we combine three different deep neural network structures in a novel way: a feedforward network to capture non-linearities, a recurrent Long-Short-Term-Memory network to find a small set of  economic state processes and a generative adversarial network to identify the portfolio strategies with the least explained pricing information .
After revision:  For this purpose, we combine three different deep neural network structures in a novel way: a feedforward network to capture non-linearities, a recurrent Long-Short-Term-Memory network to find a small set of economic state processes . A feedforward network captures the non-linear effects of the conditioning variables .