SPO-based DFL for portfolios produces prediction inflation and excessive turnover because decisions act as ranking on adjusted marginal scores; clipping, rescaling, and partial adjustment improve stability.
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Decision-Induced Ranking Explains Prediction Inflation and Excessive Turnover in SPO-Based Portfolio Optimization
SPO-based DFL for portfolios produces prediction inflation and excessive turnover because decisions act as ranking on adjusted marginal scores; clipping, rescaling, and partial adjustment improve stability.