Portfolio Optimization

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5 papers in the last four weeks, against 2 the four weeks before. 0.1% of all new papers.

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  1. Optimal Momentum Methods for Stochastic Multilevel Compositional Optimization

    Oct 1, 2026Wei Jiang, Rui Yan, Sifan Yang +3Stochastic OptimizationPortfolio Optimization

    School of Computer Science and Engineering, Nanjing University of Science and Technology, Nanjing, China · School of Artificial Intelligence, Nanjing University, Nanjing, China · School of Software Technology, Zhejiang University, Ningbo, China

  2. Retrieval-Augmented Diffusion Modeling for Stochastic Discount Factor Portfolios

    Sep 28, 2026Kelvin J. L. Koa, Xinyang Li, Ke-Wei HuangPortfolio OptimizationStochastic Differential Equations

    National University of Singapore Asian Institute of Digital Finance

  3. Taming the Greeks: Option Portfolios with Inductive Biases

    Sep 27, 2026Wee Ling Tan, Stephen Roberts, Stefan ZohrenPortfolio OptimizationPortfolio Construction

    Department of Engineering Science Oxford-Man Institute of Quantitative Finance University of Oxford

  4. LLMDE: A Large Language Model-Driven Differential Evolution Algorithm for Portfolio Optimization

    Sep 15, 2026Rong Chai, Vaclav Snasel, Xiaopeng Wang +2Portfolio OptimizationOptimization Modeling

    Faculty of Electrical Engineering and Computer Science, VŠB-Technical University of Ostrava, Ostrava, Czech Republic · Centre for Artificial Intelligence Research and Optimisation, Torrens University Australia, Brisbane, Australia · Digital Health and Applied Technology Assessment, King’s College London, London, UK

  5. Sparsity Regularized and Robust Mean Variance Portfolio Selection Under Ellipsoidal Uncertainty

    Sep 11, 2026Deniz Akkaya, Emre Can Yayla, Buse Şen +1Portfolio OptimizationSparsity

    Department of Industrial Engineering, Bilkent University, Ankara, Türkiye · Risk Analytics and Optimization Chair, EPFL, Lausanne, Switzerland

  6. Reinforcement learning to choose optimizers

    Sep 1, 2026Martin van der Schelling, Deepesh Toshniwal, Miguel A. BessaPortfolio OptimizationSequential Decision Making

    Department of Mechanical Engineering Delft University of Technology, Delft, the Netherlands · Institute of Applied Mathematics Delft University of Technology, Delft, the Netherlands · School of Engineering Brown University, Providence, RI, USA

  7. End-to-End Neural Shrinkage of Indefinite Pairwise Correlation Matrices for Small-Cap-Inclusive Portfolios

    Aug 31, 2026Christian Bongiorno, Lorenzo VillasseroCovarianceFull-Rank Correlation Matrices

    Université Paris-Saclay, CentraleSupélec · Mathématiques et Informatique pour la Complexité et les Systèmes · Gif-sur-Yvette, France +2

  8. Learning Discrete Decisions for MIPs with Constraint-Aware Diffusion

    Aug 13, 2026Vincenzo Di Vito, Mehdi Taghizadeh, Deepjyoti Deka +2Mixed-Integer ProgrammingConstrained Optimization

    University of Virginia · MIT · Los Alamos National Laboratory

  9. Optimized Certainty Equivalent Risk Minimization Using Samples: Algorithms, Convergence Rates, and Applications

    Aug 7, 2026Sumedh Gupte, Prashanth L. A., Sanjay P. BhatPortfolio OptimizationStochastic Optimization

    TCS Research, IIIT-H Research Park, Hyderabad, 500032, India · Department of Computer Science and Engineering, Indian Institute of Technology Madras, Chennai, 600036, India

  10. Neural Network-Driven Volatility Drag Mitigation under Aggressive Leverage

    Jul 25, 2026Christian Bongiorno, Efstratios Manolakis, Rosario Nunzio MantegnaVolatilityPortfolio Optimization

    Université Paris-Saclay, CentraleSupélec, Mathématiques et Informatique pour la Complexité et les Systèmes, 91190, Gif-sur-Yvette, France · Dipartimento di Fisica e Astronomia “Ettore Majorana” Catania, Italy · Dipartimento di Fisica e Chimica Palermo, Italy +1

  11. Large-Scale Portfolio Optimization Problem Under Cardinality Constraint With Enhanced Multi-Objective Evolutionary Algorithms

    Jul 10, 2026Danial Ramezani, Mostafa Abouei ArdakanPortfolio OptimizationMulti-Objective Optimization

    Department of Industrial Engineering, Faculty of Engineering, Kharazmi University, Tehran, Iran

  12. Learning Predictive Ambiguity Sets for Decision-Focused Distributionally Robust Optimization

    Jul 10, 2026Junjie GuoDistributionally-Robust OptimizationRobust Optimization

    Rutgers University

  13. Deep Reinforcement Learning for Reliability Based Bi-Objective Portfolio Optimization

    Jul 7, 2026Sounaq Das, Tanmay Sen, Raghu Nandan Sengupta +1Portfolio OptimizationConditional-Value-At-Risk

    Indian Institute of Management Amritsar · Amritsar, India · SQC & OR Unit +7

  14. Decision-focused Sparse Tangent Portfolio Optimization

    Jul 1, 2026Haeun Jeon, Seunghoon Choi, Hyunglip Bae +2Portfolio OptimizationPareto Frontier

    Department of Industrial and Systems Engineering, Korea Advanced Institute of Science and Technology, Daejeon, Republic of Korea · Department of Big Data Convergence, and Bigdata Research Lab, Chonnam National University, Gwangju, Republic of Korea · Department of Industrial Engineering, Ulsan National Institute of Science and Technology, Ulsan, Republic of Korea

  15. The Decision Geometry of Covariance Estimation for the Global Minimum-Variance Portfolio under Heavy Tails

    Jun 25, 2026Xavier FonsecaPortfolio OptimizationCovariance

    Academy for AI, Games and Media, Breda University of Applied Sciences, Breda, The Netherlands.

  16. Generating Input Distributions for Explaining Portfolio Optimization Pipelines

    Jun 24, 2026Batuhan Ataş, Nurşen Aydın, E. Mehmet Kıral +1Portfolio OptimizationPortfolio Construction

    Faculty of Economics and Business, University of Amsterdam, The Netherlands · Warwick Business School, University of Warwick, United Kingdom · RIKEN AIP, Japan

  17. Deterministic Policy Gradient for Learning Equilibrium in Time-Inconsistent Control Problems

    Jun 10, 2026Xin Guo, Yijie Huang, Xiang YuOptimal ControlPortfolio Optimization

    Department of Industrial Engineering and Operations Research, University of California, Berkeley, USA. · Department of Applied Mathematics, The Hong Kong Polytechnic University, Kowloon, Hong Kong.

  18. Addressing Market Regime Changes and Heavy-Tailed Returns in Portfolio Optimization via Bayesian VAR and Elliptical Black-Litterman

    Jun 8, 2026Daniil Mikriukov, Ruoyu Sun, Angelos Stefanidis +2Portfolio OptimizationLong-Tailed Distribution

    University of Liverpool · Xi'an Jiaotong-Liverpool University · Department of Computer Science, University of Liverpool, Liverpool, United Kingdom +1

  19. Scaling Decision-Focused Learning to Large Problems with Lagrangian Decomposition

    Jun 7, 2026Stéphane Eilles-Chan Way, Hugo Percot, Quentin Cappart +2Linear ProgrammingDecentralized Optimization

    Polytechnique Montréal, Montreal, Canada · Ecole Polytechnique, Palaiseau, France · UCLouvain, Louvain-la-Neuve, Belgium +2

  20. Diffusion Models for Adaptive Sequential Data Generation

    Jun 4, 2026Haoyang Cao, Minshuo Chen, Yinbin Han +1Time-Series GenerationDiffusion Models

    Department of Applied Mathematics and Statistics, Data Science and AI Institute, and Mathematical Institute for Data Science, Johns Hopkins University. · Department of Industrial Engineering and Management Sciences, Northwestern University. · Department Management Science and Engineering, Stanford University.

  21. Generating Robust Portfolios of Optimization Models using Large Language Models

    May 26, 2026Eleni Straitouri, Cheol Woo Kim, Milind TambeOptimization ModelingPortfolio Optimization

    Max Planck Institute for Software Systems, Kaiserslautern, Germany · Harvard University, Cambridge, United States

  22. Recursive Multi-Agent Trading System: Iterative Optimized Portfolio Strategy Under Geopolitical Uncertainty

    May 25, 2026Jing Yang, Yichao Wu, Jianan Liu +4Model-Based Multi-Agent SystemsPortfolio Optimization

    Washington University in St. Louis · Northeastern University · Independent Researcher +1

  23. Clustering based on Stochastic Dominance with application for risk averters and risk seekers

    May 23, 2026Hua Li, Xue Jia, Yilin Kang +1Portfolio OptimizationClustering

    School of Science, Changchun University, Changchun, China. · School of Mathematics and Science, Northeast Normal University, Changchun, China.

  24. Financially Guided Deep Portfolio Optimization

    May 16, 2026Rahul Fernandes, Travis DesellPortfolio OptimizationPortfolio Construction

    Department of Software Engineering Rochester Institute of Technology Rochester, New York, USA

  25. Regret Equals Covariance: A Closed-Form Characterization for Stochastic Optimization

    May 13, 2026Irene AldridgeOptimal RegretRegret

  26. Beyond ESG Scores: Learning Dynamic Constraints for Sequential Portfolio Optimization

    May 10, 2026Xin Li, Yan Ke, Longbing CaoPortfolio OptimizationPortfolio Construction

    Macquarie University · The University of Queensland

  27. A Meta Reinforcement Learning Approach to Goals-Based Wealth Management

    May 4, 2026Sanjiv R. Das, Harshad Khadilkar, Sukrit Mittal +3Portfolio OptimizationOffline Reinforcement Learning

    Dept. of Finance, Santa Clara University, Santa Clara, CA, USA · Indian Institute of Technology, Mumbai, India · Franklin Templeton, Mumbai, India +4

  28. Sampler-Robust Optimization under Generative Models

    Apr 30, 2026Ziwei Zhang, Jonathan Yu-Meng LiRobust OptimizationPortfolio Optimization

    Telfer School of Management University of Ottawa

  29. Similarity-based Portfolio Construction for Black-box Optimization

    Apr 20, 2026Catalin-Viorel Dinu, Diederick Vermetten, Carola DoerrBlack-Box OptimizationAlgorithm Selection

    Sorbonne Université, CNRS, LIP6

  30. The Virtue of Sparsity in Complexity

    Apr 18, 2026Nima Afsharhajari, Jonathan Yu-Meng LiPortfolio OptimizationSparsity

    Telfer School of Management University of Ottawa

  31. Adaptive Partitioning and Learning for Stochastic Control of Diffusion Processes

    Dec 17, 2025Hanqing Jin, Renyuan Xu, Yanzhao YangStochastic Optimal ControlDistributional Reinforcement Learning

    Mathematical Institute, University of Oxford · Department of Management Science and Engineering, Stanford University

  32. Integrated Prediction and Multi-period Portfolio Optimization

    Dec 12, 2025Yuxuan Linghu, Zhiyuan Liu, Qi DengPortfolio OptimizationMultivariate Time Series Forecasting

    Georgia Institute of Technology · The University of Chicago · Shanghai Jiao Tong University