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Conformal Risk Certificates for Portfolio Optimization Under Uncertainty: A Gated Reinforcement-Learning Approach
首次提交 2026-11-11 04:07
版本更新 2026-11-11 04:07
雷达观测 2026-11-13 10:09
摘要
Reinforcement-learning portfolio policies can optimize allocations from prices, covariances, and prior positions, yet they lack a calibrated, replayable mechanism for certifying that a proposed allocation respects a bounded risk envelope before execution. Regulators increasingly expect automated portfolio systems to provide exactly this kind of pre-trade audit trail, interpretable risk limit, and human-oversight mechanism. Gated Conformal Semantic Risk Control addresses this gap by separating return-seeking allocation from text-conditioned downside-risk verification. An instruction-tuned language model maps timestamped disclosures into schema-validated semantic risk states over macro, liquidity, earnings, and sector channels. These states induce correlated ellipsoidal factor-shock uncertainty sets whose conformal radii are calibrated by rolling finite-sample prediction over localized semantic nonconformity buckets. An asymmetric second-order cone gate then checks each raw PPO proposal against a certified worst-case semantic loss budget. The gate stays inactive for compliant proposals and intervenes only when that budget is exceeded. In walk-forward out-of-sample tests on nine liquid U.S. Select Sector SPDR ETFs, Raw PPO earns a 12.7% annual return while incurring a 4.05% semantic violation rate. Gated-CSRC removes all observed out-of-sample semantic limit breaches while retaining an 11.7% annual return. This 100-basis-point auditable safety premium is smaller than the yield loss imposed by unconditional hard projection, and exact McNemar testing confirms the compliance gain at . Loughran-McDonald lexicon controls and time-shuffled text controls fail to reproduce this certificate.
作者备注：26 pages, 5 figures, 10 tables. Submitted to Annals of Operations Research
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v1 · 2026-11-11 04:07 · 最新观测版本
Conformal Risk Certificates for Portfolio Optimization Under Uncertainty: A Gated Reinforcement-Learning Approach
Reinforcement-learning portfolio policies can optimize allocations from prices, covariances, and prior positions, yet they lack a calibrated, replayable mechanism for certifying that a proposed allocation respects a bounded risk envelope before execution. Regulators increasingly expect automated portfolio systems to provide exactly this kind of pre-trade audit trail, interpretable risk limit, and human-oversight mechanism. Gated Conformal Semantic Risk Control addresses this gap by separating return-seeking allocation from text-conditioned downside-risk verification. An instruction-tuned language model maps timestamped disclosures into schema-validated semantic risk states over macro, liquidity, earnings, and sector channels. These states induce correlated ellipsoidal factor-shock uncertainty sets whose conformal radii are calibrated by rolling finite-sample prediction over localized semantic nonconformity buckets. An asymmetric second-order cone gate then checks each raw PPO proposal against a certified worst-case semantic loss budget. The gate stays inactive for compliant proposals and intervenes only when that budget is exceeded. In walk-forward out-of-sample tests on nine liquid U.S. Select Sector SPDR ETFs, Raw PPO earns a 12.7% annual return while incurring a 4.05% semantic violation rate. Gated-CSRC removes all observed out-of-sample semantic limit breaches while retaining an 11.7% annual return. This 100-basis-point auditable safety premium is smaller than the yield loss imposed by unconditional hard projection, and exact McNemar testing confirms the compliance gain at . Loughran-McDonald lexicon controls and time-shuffled text controls fail to reproduce this certificate.
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