Beyond Co-Movement: Locality by Exposures Enables a Joint Factor-Graph Framework for Portfolio Diversification

arXiv:2608.06618 · q-fin.PM, cs.LG, q-fin.ST · Submitted 2026-08-06 · Read on arXiv

Sara Chehab, Giorgos Iacovides, Parisa Yazdanparast, Danilo Mandic

q-fin.PM, cs.LG, q-fin.ST

Submitted: 2026-08-06

Updated: 2026-08-10

License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/

Terminology

Consistency — 5× in this paper · explained in 3 episodes
Sparsity — 5× in this paper · explained in 4 episodes
Alternating Direction Method of Multipliers — 4× in this paper
Benchmark — 4× in this paper · explained in 2 episodes
Alternating Direction Method of Multipliers (ADMM) — 3× in this paper · explained in 2 episodes
Arbitrage Pricing Theory — 3× in this paper
Clustering — 3× in this paper · explained in 2 episodes
Global Industry Classification Standard — 2× in this paper
Redundancy — 2× in this paper · explained in 2 episodes
Additivity — 1× in this paper · explained in 1 episode
Alignment — 1× in this paper · explained in 1 episode
Allocator — 1× in this paper · explained in 1 episode
Core — 1× in this paper · explained in 2 episodes
Decoupled Learning — 1× in this paper · explained in 2 episodes
Decoupling — 1× in this paper · explained in 2 episodes
Dynamical regimes — 1× in this paper · explained in 2 episodes
Interpretability — 1× in this paper · explained in 15 episodes
Latent Representation — 1× in this paper · explained in 2 episodes
Latent Representations — 1× in this paper · explained in 3 episodes
Mean-Variance Optimisation — 1× in this paper
Spectral clustering — 1× in this paper · explained in 2 episodes
Stiefel manifold — 1× in this paper · explained in 2 episodes
Unified Framework — 1× in this paper · explained in 5 episodes