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Generative Adversarial Regression (GAR): Learning Conditional Risk Scenarios

Machine Learning 2026-03-10 v1 Machine Learning Optimization and Control Portfolio Management Risk Management

Abstract

We propose Generative Adversarial Regression (GAR), a framework for learning conditional risk scenarios through generators aligned with downstream risk objectives. GAR builds on a regression characterization of conditional risk for elicitable functionals, including quantiles, expectiles, and jointly elicitable pairs. We extend this principle from point prediction to generative modeling by training generators whose policy-induced risk matches that of real data under the same context. To ensure robustness across all policies, GAR adopts a minimax formulation in which an adversarial policy identifies worst-case discrepancies in risk evaluation while the generator adapts to eliminate them. This structure preserves alignment with the risk functional across a broad class of policies rather than a fixed, pre-specified set. We illustrate GAR through a tail-risk instantiation based on jointly elicitable (VaR,ES)(\mathrm{VaR}, \mathrm{ES}) objectives. Experiments on S\&P 500 data show that GAR produces scenarios that better preserve downstream risk than unconditional, econometric, and direct predictive baselines while remaining stable under adversarially selected policies.

Keywords

Cite

@article{arxiv.2603.08553,
  title  = {Generative Adversarial Regression (GAR): Learning Conditional Risk Scenarios},
  author = {Saeed Asadi and Jonathan Yu-Meng Li},
  journal= {arXiv preprint arXiv:2603.08553},
  year   = {2026}
}
R2 v1 2026-07-01T11:10:35.889Z