q-fin.PM · 2026-08-25 · No. 95

Portfolio Management, 2026-08-25.

1 new papers in q-fin.PM. Titles, authors, abstracts. Links to arXiv. Want this in your inbox every morning? Subscribe →

01 — The papers

1 entries
  1. 01

    KellyBoost: Growth-Optimal Portfolio Construction with Gradient-Boosted Trees

    Jiayu Li

    q-fin.PM · cs.LG

    KellyBoost is a single multi-output XGBoost model whose softmax output is the portfolio: with y the vector of per-asset holding-period returns, the training loss is - log(1 + w y), the negative log growth rate, so the fitted model is the growth-optimal (Kelly) allocation conditioned on the features. The objective is exact rather than a surrogate: we derive the gradient, the analytic diagonal Hessian and the full Hessian in closed form, verify...

    arxiv.org/abs/2608.23393 · PDF

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