{"paper":{"title":"Solving dynamic portfolio selection problems via score-based diffusion models","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["stat.ML"],"primary_cat":"q-fin.PM","authors_text":"Ahmad Aghapour, Erhan Bayraktar, Fengyi Yuan","submitted_at":"2025-07-14T04:41:49Z","abstract_excerpt":"In this paper, we tackle the dynamic mean-variance portfolio selection problem in a {\\it model-free} manner, based on (generative) diffusion models. We propose using data sampled from the real model $\\mathbb P$ (which is unknown) with limited size to train a generative model $\\mathbb Q$ (from which we can easily and adequately sample). With adaptive training and sampling methods that are tailor-made for time series data, we obtain quantification bounds between $\\mathbb P$ and $\\mathbb Q$ in terms of the adapted Wasserstein metric $\\mathcal A W_2$. Importantly, the proposed adapted sampling met"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"2507.09916","kind":"arxiv","version":3},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"integrity":{"clean":true,"summary":{"advisory":0,"critical":0,"by_detector":{},"informational":0},"endpoint":"/pith/2507.09916/integrity.json","findings":[],"available":true,"detectors_run":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938"},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}