6 papers
Retrieval-Corrected Conformal Prediction for Time Series
Sangjin Jin, Kangmin Kim, Junhyeong Lee +1
Conformal prediction (CP) provides distribution-free prediction intervals for fixed forecasters, but its standard calibration procedure is often inefficient for time series data, w…
Post-Calibration Reliability Reranking of Relevance Decisions via Label-wise Monotone Projection
Inwoo Tae, Yongjae Lee
Web search, product search, and question-answering retrieval systems often assign a relevance label and confidence score to each query-candidate pair. The relevance label describes…
Decision-focused Sparse Tangent Portfolio Optimization
Haeun Jeon, Seunghoon Choi, Hyunglip Bae +2
Sparse tangent portfolio optimization aims to learn an interpretable, low-cardinality portfolio in the tangency direction of the mean-variance frontier. However, the associated car…
Decision-Focused Learning via Tangent-Space Projection of Prediction Error
Junhyeong Lee, Sangjin Jin, Yongjae Lee
Decision-Focused Learning (DFL) trains predictors to improve downstream decision quality, but computing regret gradients typically requires differentiating through solvers or relyi…
Return Prediction for Mean-Variance Portfolio Selection: How Decision-Focused Learning Shapes Forecasting Models
Junhyeong Lee, Haeun Jeon, Hyunglip Bae +1
Markowitz laid the foundation of portfolio theory through the mean-variance optimization (MVO) framework. However, the effectiveness of MVO is contingent on the precise estimation…
Estimating Covariance for Global Minimum Variance Portfolio: A Decision-Focused Learning Approach
Juchan Kim, Inwoo Tae, Yongjae Lee
Portfolio optimization constitutes a cornerstone of risk management by quantifying the risk-return trade-off. Since it inherently depends on accurate parameter estimation under con…