works on
decision-focused learning 1portfolio optimization 1prediction inflation 1transaction costs 1turnover control 1

From the 1 of 1 linked paper with an AI index.

collaborators

1 paper

q-fin.PM2026

Decision-Induced Ranking Explains Prediction Inflation and Excessive Turnover in SPO-Based Portfolio Optimization

Yi Wang, Takashi Hasuike

The paper analyzes why decision-focused learning using the SPO surrogate can cause inflated return predictions and high portfolio turnover, and proposes practical techniques like c…