Seunghoon Choi

Decision-focused Sparse Tangent Portfolio Optimization

Haeun Jeon, Seunghoon Choi, Hyunglip Bae, Yongjae Lee, Woo Chang Kim

Sparse tangent portfolio optimization aims to learn an interpretable, low-cardinality portfolio in the tangency direction of the mean-variance frontier. However, the associated cardinality-constrained formulation is NP-hard, and standard predict-then-optimize pipelines often misa…Read more