An Approach for a Multi-Period Portfolio Selection Problem by considering Transaction Costs and Prediction on the Stock Market

Table 4

Parameter calibration for LSTM.

N°	BS	NA	EPOCH	Average MAPE
1	4	25	100	3.4247
2	4	25	500	3.1192
3	4	25	1000	3.0290
4	4	125	100	2.9559
5	4	125	500	3.1134
6	4	125	1000	2.9860
7	4	250	100	2.8270
8	4	250	500	2.7990
9	4	250	1000	2.7927
10	16	25	100	3.8156
11	16	25	500	2.9863
12	16	25	1000	2.8814
13	16	125	100	3.4495
14	16	125	500	2.8858
15	16	125	1000	2.8162
16	16	250	100	3.3553
17	16	250	500	2.8014
18	16	250	1000	2.7804
19	64	25	100	6.9081
20	64	25	500	3.5130
21	64	25	1000	2.9649
22	64	125	100	6.0745
23	64	125	500	3.1709
24	64	125	1000	2.9115
25	64	250	100	6.2232
26	64	250	500	3.1655
27	64	250	1000	2.9037