Papers › Off-Policy Optimization of Portfolio Allocation Policies under Constraints
Off-Policy Optimization of Portfolio Allocation Policies under Constraints
Nymisha Bandi, Theja Tulabandhula
The dynamic portfolio optimization problem in finance frequently requires learning policies that adhere to various constraints, driven by investor preferences and risk. We motivate this problem of finding an allocation policy within a sequential decision making framework and study the effects of: (a) using data collected under previously employed policies, which may be sub-optimal and constraint-violating, and (b) imposing desired constraints while computing near-optimal policies with this data. Our framework relies on solving a minimax objective, where one player evaluates policies via off-policy estimators, and the opponent uses an online learning strategy to control constraint violations. We extensively investigate various choices for off-policy estimation and their corresponding optimization sub-routines, and quantify their impact on computing constraint-aware allocation policies. Our study shows promising results for constructing such policies when back-tested on historical equities data, under various regimes of operation, dimensionality and constraints.
Code
Repository list and official/mentioned flags are the archive's, frozen 2025-07-28. Reachability, where shown, is from one Syntology probe window (2026-09-16 to 2026-09-18); repositories not probed show nothing. GitHub stars are not tracked.
Code Syntology ran Syntology
Not run by Syntology. Nothing on this page verifies that the listed code works.
Tasks
Results from the paper archive 2025-07-28
No leaderboard rows for this paper in the archive.
Report a problem or propose a change · a person checks every report against the paper or source before anything changes; decisions are listed on /corrections