# Improved Data Generation for Enhanced Asset Allocation: A Synthetic Dataset Approach for the Fixed Income Universe

arXiv: https://arxiv.org/abs/2311.16004 · HTML: https://mlsanity.com/paper/2311.16004/

## Key facts

- No citing papers in the map yet (data through 14 Oct 2026).
- Builds on 10 of its 22 references that are in the map.
- First posted on arXiv 27 Nov 2023.

## Builds on (most cited first, 10 of 10)

- [A Unified Approach to Interpreting Model Predictions](https://mlsanity.com/paper/1705.07874/) (2017)
- [Generative Adversarial Networks](https://mlsanity.com/paper/2203.00667/) (2022)
- [Improved Training of Wasserstein GANs](https://mlsanity.com/paper/1704.00028/) (2017)
- [Unsupervised Representation Learning with Deep Convolutional Generative Adversarial Networks](https://mlsanity.com/paper/1511.06434/) (2015)
- [NIPS 2016 Tutorial: Generative Adversarial Networks](https://mlsanity.com/paper/1701.00160/) (2016)
- [Checkerboard artifact free sub-pixel convolution: A note on sub-pixel convolution, resize convolution and convolution resize](https://mlsanity.com/paper/1707.02937/) (2017)
- [CorrGAN: Sampling Realistic Financial Correlation Matrices Using Generative Adversarial Networks](https://mlsanity.com/paper/1910.09504/) (2019)
- [Scenario generation for market risk models using generative neural networks](https://mlsanity.com/paper/2109.10072/) (2021)
- [cCorrGAN: Conditional Correlation GAN for Learning Empirical Conditional Distributions in the Elliptope](https://mlsanity.com/paper/2107.10606/) (2021)
- [Deep Hedging, Generative Adversarial Networks, and Beyond](https://mlsanity.com/paper/2103.03913/) (2021)

## Abstract (arXiv)

We present a novel process for generating synthetic datasets tailored to assess asset allocation methods and construct portfolios within the fixed income universe. Our approach begins by enhancing the CorrGAN model to generate synthetic correlation matrices. Subsequently, we propose an Encoder-Decoder model that samples additional data conditioned on a given correlation matrix. The resulting synthetic dataset facilitates in-depth analyses of asset allocation methods across diverse asset universes. Additionally, we provide a case study that exemplifies the use of the synthetic dataset to improve portfolios constructed within a simulation-based asset allocation process.