End-to-end differentiable optimization for sparse tangent portfolios via DPP-compliant convex layer and smooth top-k selection yields competitive out-of-sample Sharpe ratios on four equity markets.
arXiv preprint arXiv:2509.08359 , year=
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Decision-focused Sparse Tangent Portfolio Optimization
End-to-end differentiable optimization for sparse tangent portfolios via DPP-compliant convex layer and smooth top-k selection yields competitive out-of-sample Sharpe ratios on four equity markets.