Socially Responsible Investment Portfolio Construction with a Double-Screening Mechanism considering Machine Learning Prediction

Table 3

Comparison of screening results obtained by different models.

Model	The number of high-return stock = 15				The number of high-return stock = 16
	Minimum	Maximum	Mean	Average accuracy (%)	Minimum	Maximum	Mean	Average accuracy (%)
SVR	3.00	9.00	5.67	37.78	3.00	9.00	6.25	39.06
DNN	3.00	7.00	5.08	33.89	3.00	8.00	5.83	36.46
LSTM	3.00	9.00	5.42	36.11	3.00	10.00	5.83	36.46
ELM	3.00	7.00	5.25	35.00	3.00	8.00	6.08	38.02
GA-ELM	4.00	8.00	6.25	41.67	4.00	9.00	6.83	42.71
Model	The number of high-return stock = 17				The number of high-return stock = 18
	Minimum	Maximum	Mean	Average accuracy (%)	Minimum	Maximum	Mean	Average accuracy (%)
SVR	4.00	10.00	7.17	42.16	5.00	10.00	7.50	41.47
DNN	3.00	10.00	6.75	39.71	4.00	12.00	7.92	43.98
LSTM	3.00	10.00	6.58	38.73	4.00	11.00	7.67	42.59
ELM	4.00	9.00	7.17	42.16	5.00	10.00	8.08	44.91
GA-ELM	5.00	11.00	7.92	46.57	5.00	13.00	8.83	49.07
Model	The number of high-return stock = 19				The number of high-return stock = 20
	Minimum	Maximum	Mean	Average accuracy (%)	Minimum	Maximum	Mean	Average accuracy (%)
SVR	6.00	11.00	8.33	43.86	6.00	12.00	9.25	46.25
DNN	5.00	13.00	8.75	46.05	7.00	14.00	9.50	47.50
LSTM	6.00	12.00	8.67	45.61	7.00	13.00	9.50	47.50
ELM	7.00	11.00	9.00	47.37	8.00	12.00	9.58	47.92
GA-ELM	7.00	14.00	9.75	51.32	9.00	15.00	11.00	55.00

The best values are demonstrated with bold font.