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q-fin.PM2024★ 2 cited
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…
cs.LG2024
Locally Convex Global Loss Network for Decision-Focused Learning
Haeun Jeon, Hyunglip Bae, Minsu Park +2
In decision-making problems under uncertainty, predicting unknown parameters is often considered independent of the optimization part. Decision-focused learning (DFL) is a task-ori…