A factor-conditioned Diffusion Transformer learns cross-sectional next-day return distributions and generates samples for daily mean-variance and mean-CVaR portfolio optimization that outperforms benchmarks on Chinese A-share data.
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Factor-Based Conditional Diffusion Model for Contextual Portfolio Optimization
A factor-conditioned Diffusion Transformer learns cross-sectional next-day return distributions and generates samples for daily mean-variance and mean-CVaR portfolio optimization that outperforms benchmarks on Chinese A-share data.