3 papers
cs.LG2026
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…
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…