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| Autori principali: | , , , |
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| Natura: | Preprint |
| Pubblicazione: |
2026
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| Soggetti: | |
| Accesso online: | https://arxiv.org/abs/2603.23300 |
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| _version_ | 1866915887458549760 |
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| author | Caner, Mehmet Capponi, Agostino Sun, Nathan Tan, Jonathan Y. |
| author_facet | Caner, Mehmet Capponi, Agostino Sun, Nathan Tan, Jonathan Y. |
| contents | We introduce a new agentic artificial intelligence (AI) platform for portfolio management. Our architecture consists of three layers. First, two large language model (LLM) agents are assigned specialized tasks: one agent screens for firms with desirable fundamentals, while a sentiment analysis agent screens for firms with desirable news. Second, these agents deliberate to generate and agree upon buy and sell signals from a large portfolio, substantially narrowing the pool of candidate assets. Finally, we apply a high-dimensional precision matrix estimation procedure to determine optimal portfolio weights. A defining theoretical feature of our framework is that the number of assets in the portfolio is itself a random variable, realized through the screening process. We introduce the concept of sensible screening and establish that, under mild screening errors, the squared Sharpe ratio of the screened portfolio consistently estimates its target. Empirically, our method achieves superior Sharpe ratios relative to an unscreened baseline portfolio and to conventional screening approaches, evaluated on S&P 500 data over the period 2020--2024. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2603_23300 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Designing Agentic AI-Based Screening for Portfolio Investment Caner, Mehmet Capponi, Agostino Sun, Nathan Tan, Jonathan Y. Portfolio Management Artificial Intelligence Multiagent Systems Statistical Finance We introduce a new agentic artificial intelligence (AI) platform for portfolio management. Our architecture consists of three layers. First, two large language model (LLM) agents are assigned specialized tasks: one agent screens for firms with desirable fundamentals, while a sentiment analysis agent screens for firms with desirable news. Second, these agents deliberate to generate and agree upon buy and sell signals from a large portfolio, substantially narrowing the pool of candidate assets. Finally, we apply a high-dimensional precision matrix estimation procedure to determine optimal portfolio weights. A defining theoretical feature of our framework is that the number of assets in the portfolio is itself a random variable, realized through the screening process. We introduce the concept of sensible screening and establish that, under mild screening errors, the squared Sharpe ratio of the screened portfolio consistently estimates its target. Empirically, our method achieves superior Sharpe ratios relative to an unscreened baseline portfolio and to conventional screening approaches, evaluated on S&P 500 data over the period 2020--2024. |
| title | Designing Agentic AI-Based Screening for Portfolio Investment |
| topic | Portfolio Management Artificial Intelligence Multiagent Systems Statistical Finance |
| url | https://arxiv.org/abs/2603.23300 |