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Transfer Learning for Portfolio Optimization

Portfolio Management 2023-07-26 v1 Machine Learning

Abstract

In this work, we explore the possibility of utilizing transfer learning techniques to address the financial portfolio optimization problem. We introduce a novel concept called "transfer risk", within the optimization framework of transfer learning. A series of numerical experiments are conducted from three categories: cross-continent transfer, cross-sector transfer, and cross-frequency transfer. In particular, 1. a strong correlation between the transfer risk and the overall performance of transfer learning methods is established, underscoring the significance of transfer risk as a viable indicator of "transferability"; 2. transfer risk is shown to provide a computationally efficient way to identify appropriate source tasks in transfer learning, enhancing the efficiency and effectiveness of the transfer learning approach; 3. additionally, the numerical experiments offer valuable new insights for portfolio management across these different settings.

Keywords

Cite

@article{arxiv.2307.13546,
  title  = {Transfer Learning for Portfolio Optimization},
  author = {Haoyang Cao and Haotian Gu and Xin Guo and Mathieu Rosenbaum},
  journal= {arXiv preprint arXiv:2307.13546},
  year   = {2023}
}
R2 v1 2026-06-28T11:39:44.492Z