Portfolio Optimization

Description from the archive archive 2025-07-28.

Benchmarks archive 2025-07-28

1 leaderboard table shown for this task, 1 with rows (a “benchmark” on this site is a table with at least one row, as on /sota), ordered by row count. “Best model” is the first row in the archive's own order at snapshot; nothing is re-ranked here and metric direction is not recorded in the archive. PwC's Trend sparklines are not in the archive, so that column is omitted.

Syntology column: samples harvested from the paper's repositories and executed on synthesized fixtures; “ran” is not a correctness claim and does not order the table. A dash means no Syntology record for that paper, not a recorded non-run. Read from the graph 2026-09-24.

Libraries

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Datasets archive 2025-07-28

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Subtasks archive 2025-07-28

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Most implemented papers archive 2025-07-28

30 shown of 61 papers with code (428 tagged with this task in all), ordered by repositories listed in the archive, not by stars (the archive holds no stars, so PwC's “Social” and “Latest” sorts cannot be reproduced). Papers without a page here are shown as plain text.

• A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem
  30 Jun 2017 30 repositories listed
  They are, along with a number of recently reviewed or published portfolio-selection strategies, examined in three back-test experiments with a trading period of 30 minutes in a cryptocurrency market.
• Deep Learning for Portfolio Optimization
  27 May 2020 3 repositories listed
  We adopt deep learning models to directly optimise the portfolio Sharpe ratio.
• Stock Price Correlation Coefficient Prediction with ARIMA-LSTM Hybrid Model
  5 Aug 2018 3 repositories listed
  Predicting the price correlation of two assets for future time periods is important in portfolio optimization.
• Qlib: An AI-oriented Quantitative Investment Platform
  22 Sep 2020 2 repositories listed Syntology ran 0 of 4 samples · 4 unverified · 4 pointer-only (licence)
  Quantitative investment aims to maximize the return and minimize the risk in a sequential trading period over a set of financial instruments.
• Bayesian Optimization of Risk Measures
  10 Jul 2020 2 repositories listed Syntology ran 2 of 4 samples · 2 unverified · 4 pointer-only (licence)
  We consider Bayesian optimization of objective functions of the form ρ[ F(x, W) ], where F is a black-box expensive-to-evaluate function and ρ denotes either the VaR or CVaR risk measure, computed with respect to the…
• Automatically Learning Compact Quality-aware Surrogates for Optimization Problems
  18 Jun 2020 2 repositories listed
  Solving optimization problems with unknown parameters often requires learning a predictive model to predict the values of the unknown parameters and then solving the problem using these values.
• Smart "Predict, then Optimize"
  22 Oct 2017 2 repositories listed
  Our SPO+ loss function can tractably handle any polyhedral, convex, or even mixed-integer optimization problem with a linear objective.
• skfolio: Portfolio Optimization in Python
  5 Jul 2025 1 repository listed
  Portfolio optimization is a fundamental challenge in quantitative finance, requiring robust computational tools that integrate statistical rigor with practical implementation.
• A Scalable Gradient-Based Optimization Framework for Sparse Minimum-Variance Portfolio Selection
  15 May 2025 1 repository listed
  Portfolio optimization involves selecting asset weights to minimize a risk-reward objective, such as the portfolio variance in the classical minimum-variance framework.
• Integrating LLM-Generated Views into Mean-Variance Optimization Using the Black-Litterman Model
  19 Apr 2025 1 repository listed
  This study explores the integration of large language models (LLMs) generated views into portfolio optimization using the Black-Litterman framework.
• Diffusion Factor Models: Generating High-Dimensional Returns with Factor Structure
  9 Apr 2025 1 repository listed
  Financial scenario simulation is essential for risk management and portfolio optimization, yet it remains challenging especially in high-dimensional and small data settings common in finance.
• OmniEcon Nexus: Global Microeconomic Simulation Engine
  7 Apr 2025 1 repository listed
  Risk Analysis: Assesses market volatility and systemic risk using network analysis.
• Semi-Decision-Focused Learning with Deep Ensembles: A Practical Framework for Robust Portfolio Optimization
  16 Mar 2025 1 repository listed
  I propose Semi-Decision-Focused Learning, a practical adaptation of Decision-Focused Learning for portfolio optimization.
• Risk-aware Trading Portfolio Optimization
  6 Mar 2025 1 repository listed
  We investigate portfolio optimization in financial markets from a trading and risk management perspective.
• A Deep Reinforcement Learning Framework for Dynamic Portfolio Optimization: Evidence from China's Stock Market
  24 Dec 2024 1 repository listed
  Artificial intelligence is transforming financial investment decision-making frameworks, with deep reinforcement learning demonstrating substantial potential in robo-advisory applications.
• Robust Portfolio Optimization using GOPALS: Geospatial Optimization and Portfolio Allocation using Landscape Segmentation
  14 Dec 2024 1 repository listed
  This study introduces GOPALS: Geospatial Optimization and Portfolio Allocation using Landscape Segmentation, a simulation-based portfolio optimization framework designed to overcome these limitations and improve the…
• Portfolio Optimization with Feedback Strategies Based on Artificial Neural Networks
  15 Nov 2024 1 repository listed
  With the recent advancements in machine learning (ML), artificial neural networks (ANN) are starting to play an increasingly important role in quantitative finance.
• A Survey of Financial AI: Architectures, Advances and Open Challenges
  1 Nov 2024 1 repository listed
  Financial AI empowers sophisticated approaches to financial market forecasting, portfolio optimization, and automated trading.
• Improving Portfolio Optimization Results with Bandit Networks
  5 Oct 2024 1 repository listed
  We then extend this approach to the Portfolio Optimization problem by introducing the Combinatorial Adaptive Discounted Thompson Sampling (CADTS) algorithm, which addresses computational challenges within Combinatorial…
• End-to-End Conformal Calibration for Optimization Under Uncertainty
  30 Sep 2024 1 repository listed Syntology ran 1 of 1 samples · 0 unverified
  However, ensuring robustness guarantees requires well-calibrated uncertainty estimates, which can be difficult to achieve in high-capacity prediction models such as deep neural networks.
• Federated Learning from Vision-Language Foundation Models: Theoretical Analysis and Method
  29 Sep 2024 1 repository listed Syntology ran 4 of 10 samples · 6 unverified · 10 pointer-only (licence)
  Integrating pretrained vision-language foundation models like CLIP into federated learning has attracted significant attention for enhancing generalization across diverse tasks.
• Autoregressive Policy Optimization for Constrained Allocation Tasks
  27 Sep 2024 1 repository listed Syntology ran 1 of 2 samples · 1 unverified · 2 pointer-only (licence)
  Allocation tasks represent a class of problems where a limited amount of resources must be allocated to a set of entities at each time step.
• Empirical Asset Pricing with Large Language Model Agents
  25 Sep 2024 1 repository listed Syntology ran 3 of 3 samples · 0 unverified
  In this study, we introduce a novel asset pricing model leveraging the Large Language Model (LLM) agents, which integrates qualitative discretionary investment evaluations from LLM agents with quantitative financial…
• AI-Powered Energy Algorithmic Trading: Integrating Hidden Markov Models with Neural Networks
  29 Jul 2024 1 repository listed
  This study examined the architecture of the trading system, data pre-processing, training, and performance.
• Generative model for financial time series trained with MMD using a signature kernel
  29 Jul 2024 1 repository listed
  Generating synthetic financial time series data that accurately reflects real-world market dynamics holds tremendous potential for various applications, including portfolio optimization, risk management, and large scale…
• Contrastive Learning of Asset Embeddings from Financial Time Series
  26 Jul 2024 1 repository listed
  In each case our novel approaches significantly outperform existing baselines highlighting the potential for contrastive learning to capture meaningful and actionable relationships in financial data.
• Regularizing stock return covariance matrices via multiple testing of correlations
  12 Jul 2024 1 repository listed
  This paper develops a large-scale inference approach for the regularization of stock return covariance matrices.
• Tackling Decision Processes with Non-Cumulative Objectives using Reinforcement Learning
  22 May 2024 1 repository listed
  Their optimal policy typically maximizes the expected sum of rewards given at each step of the decision process.
• Autonomous Sparse Mean-CVaR Portfolio Optimization
  13 May 2024 1 repository listed
  The ℓ₀-constrained mean-CVaR model poses a significant challenge due to its NP-hard nature, typically tackled through combinatorial methods characterized by high computational demands.
• Stochastic Control Barrier Functions for Economics
  19 Dec 2023 1 repository listed
  Numerical simulations are used to demonstrate the effectiveness of using traditional control solutions in tandem with CBFs and stochastic CBFs to solve such problems in the presence of state constraints.

Syntology lines on 6 of the papers shown; no Syntology record for the others (a paper without an arXiv id cannot be joined to the graph, and absence from the graph layer is not a recorded non-run). “Ran” means the sample executed on a synthesized fixture, not that the paper's result was reproduced. Read from the graph 2026-09-24.