MILLION: A General Multi-Objective Framework with Controllable Risk for Portfolio Management
Summary: MILLION combines portfolio optimization with auxiliary return prediction/ranking objectives to improve out-of-market generalization. Its distinctive second phase offers interpolation with theoretically exact, fine-grained risk targeting and improvement for higher returns at fixed risk. (summarized by gpt-5.6-luna on Jul 24 2026)
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Authors
- 1. Liwei Deng (University of Electronic Science and Technology of China)
- 2. Tianfu Wang (University of Science and Technology Beijing)
- 3. Yan Zhao (University of Electronic Science and Technology of China)
- 4. Kai Zheng (University of Electronic Science and Technology of China)
BibTeX Citation
@article{deng_vldb25,
title = {{MILLION: A General Multi-Objective Framework with Controllable Risk for Portfolio Management}},
author = {Deng, Liwei and Wang, Tianfu and Zhao, Yan and Zheng, Kai},
journal = {PVLDB},
series = {{VLDB} '25},
volume = {18},
number = {2},
pages = {466--474},
doi = {10.14778/3705829.3705859},
url = {https://doi.org/10.14778/3705829.3705859},
year = {2025}
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