A single model with a capacity-scaled prediction head, an extreme-rank listwise loss, and a correlation penalty generates diverse alpha signals that beat nine baselines on average risk-adjusted return across four equity markets.
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MAPLE: Efficient and Diverse Multi-Alpha Generation for Portfolio Construction
A single model with a capacity-scaled prediction head, an extreme-rank listwise loss, and a correlation penalty generates diverse alpha signals that beat nine baselines on average risk-adjusted return across four equity markets.