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 misalign forecasting accuracy with downstream portfolio quality. We propose an end-to-end decision-focused learning framework that reformulates Sharpe ratio maximization as a Disciplined Parametrized Programming (DPP)-compliant convex programming layer and replaces discrete selection with a smooth top-$k$ operator enforcing an exact cardinality $k$. This enables gradient flow through prediction, asset selection, and re-optimization, allowing the predictive model to directly optimize portfolio performance. Across four major equity markets, our method achieves competitive and often superior out-of-sample Sharpe ratios compared with historical and prediction-focused baselines, with particularly strong gains in larger asset universes. Our \href{https://github.com/feuerwerksh/Diffble-card-SR}{code} is publicly available.
Predict-then-optimize systems usually compress uncertainty into a point forecast and then solve a downstream optimization problem as if the forecast were reliable. Distributionally robust optimization (DRO) offers protection against misspecification, but the ambiguity set is ofte…
The increasing uncertainty from flexible demand and renewable generation has made distributionally robust optimization (DRO) an important tool for robust power system dispatch. DRO relies on forecast scenarios to construct ambiguity sets, but conventional scenario generation pipe…
Portfolio optimization under uncertainty is inherently a multi-objective decision problem involving complex interactions among return, risk, market dynamics, and practical investment constraints. Existing reliability based portfolio optimization approaches primarily rely on stati…
Venture capital (VC) investment decisions face distinct challenges, such as multi-source heterogeneous data, non-stationary time series, and the demand for explainable predictions in high-stakes, low-data settings. To overcome these issues, we introduce \textbf{FinInvest-GTCN}, a…
Predictions are increasingly used to guide high-stakes decisions, from treatment selection to policy making. To ensure reliability with imperfect predictions, uncertainty quantification methods such as conformal prediction build prediction sets with coverage guarantees. However,…
Automated experimentation is moving from closed-loop optimization toward open decision-making, where human or AI planners must forecast the consequences of candidate actions before executing them. Such forecasts require a model of both sides of the experiment: how the sample is l…