Economics & Finance · Interdisciplinary & Society
Portfolio Management
The newest papers in Portfolio Management that ReadSearch has read, newest first. Each links to its own page, with its authors, date, where it was published and the original.
66 papers, from 7 September 2026 to 4 November 2026: 66 arXiv preprints.
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Exponential investors with weakly mean-reverting prices
We investigate a continuous-time financial market where the asset price exhibits weak (sublinear) mean reversion and has a nonzero drift.Robust enhanced index tracking portfolio selection under distributional uncertainty
The enhanced index tracking (EIT) portfolio selection problem aims to construct a portfolio that is expected to outperform a benchmark index.FactorBench: A Portfolio-Aware Benchmark for Automated Factor Mining
Factor mining seeks to discover signals from financial data that predict future asset returns and guide portfolio construction.Cities of Signals: Compression, Separation, and the Geometry of Novelty
A cross-sectional signal is a forecast vector over $d$ assets at each date; demeaned and normalized, it is a point on a sphere.Verify Claims, Not Scores: Evidence-Based Verification of Modular Agents
When developers change one component of an agent, such as its controller, a learned model or its verifier, they usually judge the change by an aggregate task score.Multiperiod bond portfolio optimization with transaction costs using a Markov Decision process
Bank treasury portfolios must balance yield, liquidity, and interest-rate risk across bonds of different maturities.Jacobian Rank Collapse in Decision-Focused Learning
Decision-focused learning (DFL) trains predictors through downstream objectives, but a different loss need not provide an independent parameter-update direction.Spouse-Protected Tontines: Household Decumulation via Neural-Network Optimization
We develop a spouse-protected tontine in which a first death changes the household state but generates no pool transfer.From Word Counts to Context: Topic Models for Asset Pricing
News may reveal systematic risk, but whether its context enhances the construction of systematic risk factors is still unclear.Retrieval-Augmented Diffusion Modeling for Stochastic Discount Factor Portfolios
In this work, we study portfolio optimization under the stochastic discount factor (SDF) framework by learning market state representations that capture the underlying risk structures of financial…Taming the Greeks: Option Portfolios with Inductive Biases
We present an end-to-end deep learning framework for systematic options trading that directly embeds hedging behavior through explicit control of portfolio-level risk exposures.Optimal Reinsurance-Dividend Strategy with Fixed Transaction Costs in a Regime-Switching Brownian Risk Model: A Viscosity Solution to the Impulse Control Problem
We consider a problem of optimal proportional reinsurance-dividend distribution under a Brownian risk model, where both the drift and volatility coefficients are subject to endogenous…Cost-Sensitive Online Window Size Selection for Portfolio Management
This paper investigates cost-sensitive online window size selection for portfolio management under changing market conditions.Optimal Investment and Consumption in Financial Markets with Integrated Variance Clocks
We study the infinite-horizon optimal investment and consumption problem in a general class of continuous financial markets, where uncertainty is driven by a continuous non-decreasing stochastic…Propose, Don't Judge: An Anytime-Valid Referee for LLM Agents That Mine Investment Factors
Language-model agents now run the whole of quantitative factor research: they propose investment factors, backtest them, select the survivors and retire them.Active Portfolio Management in Concentrated Equity Markets
The equal-weighted portfolio is a passive, rule-based strategy that has historically been difficult to outperform, delivering higher returns than the capitalization-weighted "market" benchmark…Nested Clustered Optimization Is One End of a Schur Bridge, and the Interior Is Sometimes Provably Better
Nested clustered optimization allocates within each cluster from the cluster's own covariance block and then across the resulting cluster portfolios.Principal component error in high-dimensional factor models
In a statistical factor model, principal components (or eigenvectors) of a sample covariance matrix serve as estimates of {\it principal directions}, the true drivers of co-movement of a collection…Separated Signal Libraries: Packing, Saturation, and Joint Spectral Limits
We study libraries of cross-sectional signals: at each date, a forecast vector over $d$ assets intended to predict the next period's cross-sectional return.Special Markowitz: Thermodynamic Formalism for the Joint Regularisation of Returns and Covariance
Special Markowitz (SM) regularises returns and covariance jointly, relative to a reference state (mu_ref, Sigma_ref).