Cover Image

Dependency Network-Based Portfolio Design with Forecasting and VaR Constraints

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Lin, Zihan, Liu, Haojie, Rojas, Randall R.
Format:	Preprint
Published:	2025
Subjects:	Portfolio Management Econometrics Statistical Finance Machine Learning
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Maximally Machine-Learnable Portfolios
by: Coulombe, Philippe Goulet, et al.
Published: (2023)

Low Volatility Stock Portfolio Through High Dimensional Bayesian Cointegration
by: Yang, Parley R, et al.
Published: (2024)

Probabilistic Forecasting for Day-ahead Electricity Prices, Battery Trading Strategies and the Economic Evaluation of Predictive Accuracy
by: Hirsch, Simon, et al.
Published: (2026)

Portfolio Optimization with Robust Covariance and Conditional Value-at-Risk Constraints
by: Zhou, Qiqin
Published: (2024)

Bayesian Portfolio Optimization by Predictive Synthesis
by: Kato, Masahiro, et al.
Published: (2025)

Sparse spanning portfolios and under-diversification with second-order stochastic dominance
by: Arvanitis, Stelios, et al.
Published: (2024)

Stochastic Discount Factors with Cross-Asset Spillovers
by: Avramov, Doron, et al.
Published: (2026)

Conformal Predictive Portfolio Selection
by: Kato, Masahiro
Published: (2024)

From Headlines to Holdings: Deep Learning for Smarter Portfolio Decisions
by: Lin, Yun, et al.
Published: (2025)

Geometric Deep Learning for Realized Covariance Matrix Forecasting
by: Bucci, Andrea, et al.
Published: (2024)

To VaR, or Not to VaR, That is the Question
by: Olkhov, Victor
Published: (2021)

Sparse Portfolio Selection via Topological Data Analysis based Clustering
by: Goel, Anubha, et al.
Published: (2024)

Portfolio Analysis in High Dimensions with TE and Weight Constraints
by: Caner, Mehmet, et al.
Published: (2024)

Exploratory Mean-Variance Portfolio Optimization with Regime-Switching Market Dynamics
by: Chen, Yuling Max, et al.
Published: (2025)

Quantifying the Risk-Return Tradeoff in Forecasting
by: Coulombe, Philippe Goulet
Published: (2026)

The Virtue of Sparsity in Complexity
by: Afsharhajari, Nima, et al.
Published: (2026)

Diffolio: A Diffusion Model for Multivariate Probabilistic Financial Time-Series Forecasting and Portfolio Construction
by: Cho, So-Yoon, et al.
Published: (2025)

Portfolio diversification with varying investor abilities
by: James, Nick, et al.
Published: (2023)

Sentiment trading with large language models
by: Kirtac, Kemal, et al.
Published: (2024)

PolyModel for Hedge Funds' Portfolio Construction Using Machine Learning
by: Zhao, Siqiao, et al.
Published: (2024)

Market Reactions and Information Spillovers in Bank Mergers: A Multi-Method Analysis of the Japanese Banking Sector
by: Wang, Haibo, et al.
Published: (2025)

Aligning Language Models with Investor and Market Behavior for Financial Recommendations
by: Spadea, Fernando, et al.
Published: (2025)

Finding Moving-Band Statistical Arbitrages via Convex-Concave Optimization
by: Johansson, Kasper, et al.
Published: (2024)

Liquidity Adjustment in Multivariate Volatility Modeling: Evidence from Portfolios of Cryptocurrencies and US Stocks
by: Deng, Qi
Published: (2024)

Latent Variable Estimation in Bayesian Black-Litterman Models
by: Lin, Thomas Y. L., et al.
Published: (2025)

Assessing Dynamic Connectedness in Global Supply Chain Infrastructure Portfolios: The Impact of Risk Factors and Extreme Events
by: Wang, Haibo
Published: (2025)

Advancing Portfolio Optimization: Adaptive Minimum-Variance Portfolios and Minimum Risk Rate Frameworks
by: Jha, Ayush, et al.
Published: (2025)

Financial Bond Similarity Search Using Representation Learning
by: Haeri, Amin, et al.
Published: (2026)

The Hybrid Forecast of S&P 500 Volatility ensembled from VIX, GARCH and LSTM models
by: Roszyk, Natalia, et al.
Published: (2024)

Designing Agentic AI-Based Screening for Portfolio Investment
by: Caner, Mehmet, et al.
Published: (2026)

Deep Reinforcement Learning for Long-Short Portfolio Optimization
by: Huang, Gang, et al.
Published: (2020)

A Deep Reinforcement Learning Framework For Financial Portfolio Management
by: Li, Jinyang
Published: (2024)

Market-Based Variance of Market Portfolio and of Entire Market
by: Olkhov, Victor
Published: (2025)

Transformer for Times Series: an Application to the S&P500
by: Brugiere, Pierre, et al.
Published: (2024)

The Aligned Economic Index & The State Switching Model
by: Aarab, Ilias
Published: (2025)

Decision by Supervised Learning with Deep Ensembles: A Practical Framework for Robust Portfolio Optimization
by: Kim, Juhyeong, et al.
Published: (2025)

Cross-Stock Predictability via LLM-Augmented Semantic Networks
by: Huang, Yikuan, et al.
Published: (2026)

From On-chain to Macro: Assessing the Importance of Data Source Diversity in Cryptocurrency Market Forecasting
by: Demosthenous, Giorgos, et al.
Published: (2025)

Variable Clustering via Distributionally Robust Nodewise Regression
by: Wang, Kaizheng, et al.
Published: (2022)

Navigating Uncertainty in ESG Investing
by: Zhang, Jiayue, et al.
Published: (2023)