Semi-Decision-Focused Learning with Deep Ensembles: A Practical Framework for Robust Portfolio Optimization

I propose Semi-Decision-Focused Learning, a practical adaptation of Decision-Focused Learning for portfolio optimization. Rather than directly optimizing complex financial metrics, I employ simple target portfolios (Max-Sortino or One-Hot) and train models with a convex, cross-entropy loss. I further incorporate Deep Ensemble methods to reduce variance and stabilize performance. Code is available at https://github. Machine learning technologies have transformed portfolio optimization, with numerous studies leveraging deep learning to automate and enhance the process.