3 papers
cs.LG2025
Prediction Loss Guided Decision-Focused Learning
Haeun Jeon, Hyunglip Bae, Chanyeong Kim +2
Decision-making under uncertainty is often considered in two stages: predicting the unknown parameters, and then optimizing decisions based on predictions. While traditional predic…
q-fin.MF2025
A Cholesky decomposition-based asset selection heuristic for sparse tangent portfolio optimization
Hyunglip Bae, Haeun Jeon, Minsu Park +2
In practice, including large number of assets in mean-variance portfolios can lead to higher transaction costs and management fees. To address this, one common approach is to selec…
q-fin.PM2024
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…