mlsanityData to 14 Oct 2026

Portfolio Optimization Proxies under Label Scarcity and Regime Shifts via Bayesian and Deterministic Students under Semi-Supervised Sandwich Training

arXiv 2604.14206 ↗First posted 4 Apr 2026cs.LG q-fin.PM stat.MLcited by 0

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Abstract (arXiv)

This paper proposes a machine learning assisted portfolio optimization framework designed for low data environments and regime uncertainty. We construct a teacher student learning pipeline in which a Conditional Value at Risk (CVaR) optimizer generates supervisory labels, and neural models (Bayesian and deterministic) are trained using both real and synthetically augmented data. The synthetic data is generated using a factor based model with t copula residuals, enabling training beyond the limited real sample of 104 labeled observations. We evaluate four student models under a structured experimental framework comprising (i) controlled synthetic experiments (3 x 5 seed grid), (ii) in-distribution real market evaluation (C2A) and (iii) cross-universe generalization (D2A). In real-market settings, models are deployed using a rolling evaluation protocol where a frozen pretrained model is periodically fine tuned on recent observations and reset to its base state, ensuring stability while allowing limited adaptation. Results show that student models can match or outperform the CVaR teacher in several settings, while achieving improved robustness under regime shifts and reduced turnover. These findings suggest that hybrid optimization learning approaches can enhance portfolio construction in data constrained environments

Key facts. No citing papers in the map yet (data through 14 Oct 2026). Builds on 10 of its 37 references that are in the map. First posted on arXiv 4 Apr 2026.

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References · 10

  1. 2015Dropout as a Bayesian Approximation: Representing Model Uncertainty in Deep Learningcited by 4,448
  2. 2015Weight Uncertainty in Neural Networkscited by 554
  3. 2017A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problemcited by 128
  4. 2018Temporal Relational Ranking for Stock Predictioncited by 102
  5. 2019Deep Learning in Asset Pricingcited by 41
  6. 2018Deep Learning in Characteristics-Sorted Factor Modelscited by 7
  7. 2018Deep Learning for Predicting Asset Returnscited by 5
  8. 2024Optimization Proxies using Limited Labeled Data and Training Time -- A Semi-Supervised Bayesian Neural Network Approachcited by 2
  9. 2022Deep Partial Least Squares for Empirical Asset Pricingcited by 1
  10. 2025Deep Reinforcement Learning for Optimal Asset Allocation Using DDPG with TiDEcited by 1

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  3. 2025Factor-Based Conditional Diffusion Model for Contextual Portfolio Optimization
  4. 2025Multi-Agent Regime-Conditioned Diffusion (MARCD) for CVaR-Constrained Portfolio Decisions
  5. 2025Reinforcement-Learning Portfolio Allocation with Dynamic Embedding of Market Information
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