SPO-based decision-focused learning inflates predictions and causes excessive portfolio turnover because decisions rank assets on risk- and cost-adjusted scores, which can be mitigated by output constraints and partial adjustments.
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Decision-Induced Ranking Explains Prediction Inflation and Excessive Turnover in SPO-Based Portfolio Optimization
SPO-based decision-focused learning inflates predictions and causes excessive portfolio turnover because decisions rank assets on risk- and cost-adjusted scores, which can be mitigated by output constraints and partial adjustments.