decision-focused learning 1portfolio optimization 1prediction inflation 1transaction costs 1turnover control 1
From the 1 of 2 linked papers with an AI index.
2 papers
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…
q-fin.PM2026
Smart Predict--then--Optimize Paradigm for Portfolio Optimization in Real Markets
Wang Yi, Takashi Hasuike
Improvements in return forecast accuracy do not always lead to proportional improvements in portfolio decision quality, especially under realistic trading frictions and constraints…