#portfolio optimization
5 papers · 1 filter
Are Three Matrices All You Need To Beat the Market? Observable Matrix Dynamics for Portfolio Optimization
Igor Halperin
The paper proposes a dynamic portfolio management framework that relies only on three matrices derived from daily price, volume, and market cap data— a return‑correlation distance…
SciPhy Reinforcement Learning for Portfolio Optimization
Igor Halperin, Andrey Itkin
The paper proposes a physics‑informed reinforcement learning framework that learns optimal, cost‑aware portfolio allocation policies from historical data by solving a projected Ham…
Minimizing Benchmark-Relative Drawdown Duration via Occupation Time Penalization
Jun Sekine, Marcus Wunsch
The paper formulates a continuous‑time portfolio optimization problem that penalizes the expected discounted time an investor’s wealth lags behind a non‑replicable benchmark, deriv…
Quantum-Informed Portfolio Selection: An End-to-End Pipeline Validated on Trapped-Ion Hardware with Real Market Data
Romina Yalovetzky, Martin J. A. Schuetz, Zichang He +11
The paper presents a hybrid quantum‑classical pipeline (qReduMIS) that uses QAOA measurements to guide reductions for solving portfolio diversification formulated as a Maximum Inde…
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…