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Les algorithmes d''apprentissage automatique, tels que les rA(c)seaux de neurones, jouent un rAle croissant en gestion de portefeuille. Ce livre propose et compare deux paradigmes d''entraA(R)nement de rA(c)seaux de neurones en gestion de portefeuille: un premier consistant A entraA(R)ner le rA(c)seau A prA(c)voir les premiers moments de la distribution conditionnelle des rendements des actifs puis A rendre une dA(c)cision de rA(c)partition moyenne-variance classique, et un second effectuant directement une dA(c)cision de rA(c)partition des actifs, A(c)liminant l''A(c)tape de la prA(c)vision....

This brief offers a broad, yet concise, coverage of portfolio choice, containing both application-oriented and academic results, along with abundant pointers to the literature for further study. It cuts through many strands of the subject, presenting not only the classical results from financial economics but also approaches originating from information theory, machine learning and operations research. This compact treatment of the topic will be valuable to students entering the field, as well as practitioners looking for a broad coverage of the topic.