While investment funds publicly disclose their objectives in broad terms, their managers optimize for complex combinations of competing goals that go beyond simple risk-return trade-offs. Traditional approaches attempt to model this through multi-objective utility functions, but face fundamental challenges in specification and parameterization. We propose a generative framework that learns latent representations of fund manager strategies without requiring explicit utility specification. Our approach directly models the conditional probability of a fund's portfolio weights, given stock characteristics, historical returns, previous weights, and a latent variable representing the fund's strategy. Unlike methods based on reinforcement learning or imitation learning, which require specified rewards or labeled expert objectives, our GAN-based architecture learns directly from the joint distribution of observed holdings and market data. We validate our framework on a dataset of 1436 U.S. equity mutual funds. The learned representations successfully capture known investment styles, such as "growth" and "value," while also revealing implicit manager objectives. For instance, we find that while many funds exhibit characteristics of Markowitz-like optimization, they do so with heterogeneous realizations for turnover, concentration, and latent factors. To analyze and interpret the end-to-end model, we develop a series of tests that explain the model, and we show that the benchmark's expert labeling are contained in our model's encoding in a linear interpretable way. Our framework provides a data-driven approach for characterizing investment strategies for applications in market simulation, strategy attribution, and regulatory oversight.

As a fundamental method in economics and finance, the factor model has been extensively utilized in quantitative investment. In recent years, there has been a paradigm shift from traditional linear models with expert-designed factors to more flexible nonlinear machine learning-based models with data-driven factors, aiming to enhance the effectiveness of these factor models. However, due to the low signal-to-noise ratio in market data, mining effective factors in data-driven models remains challenging. In this work, we propose a hypergraph-based factor model with temporal residual contrastive learning (FactorGCL) that employs a hypergraph structure to better capture high-order nonlinear relationships among stock returns and factors. To mine hidden factors that supplement human-designed prior factors for predicting stock returns, we design a cascading residual hypergraph architecture, in which the hidden factors are extracted from the residual information after removing the influence of prior factors. Additionally, we propose a temporal residual contrastive learning method to guide the extraction of effective and comprehensive hidden factors by contrasting stock-specific residual information over different time periods. Our extensive experiments on real stock market data demonstrate that FactorGCL not only outperforms existing state-of-the-art methods but also mines effective hidden factors for predicting stock returns.

The use of machine learning for statistical modeling (and thus, generative modeling) has grown in popularity with the proliferation of time series models, text-to-image models, and especially large language models. Fundamentally, the goal of classical factor modeling is statistical modeling of stock returns, and in this work, we explore using deep generative modeling to enhance classical factor models. Prior work has explored the use of deep generative models in order to model hundreds of stocks, leading to accurate risk forecasting and alpha portfolio construction; however, that specific model does not allow for easy factor modeling interpretation in that the factor exposures cannot be deduced. In this work, we introduce NeuralFactors, a novel machine-learning based approach to factor analysis where a neural network outputs factor exposures and factor returns, trained using the same methodology as variational autoencoders. We show that this model outperforms prior approaches both in terms of log-likelihood performance and computational efficiency. Further, we show that this method is competitive to prior work in generating realistic synthetic data, covariance estimation, risk analysis (e.g., value at risk, or VaR, of portfolios), and portfolio optimization. Finally, due to the connection to classical factor analysis, we analyze how the factors our model learns cluster together and show that the factor exposures could be used for embedding stocks.

In recent years, the dynamic factor model has emerged as a dominant tool in economics and finance, particularly for investment strategies. This model offers improved handling of complex, nonlinear, and noisy market conditions compared to traditional static factor models. The advancement of machine learning, especially in dealing with nonlinear data, has further enhanced asset pricing methodologies. This paper introduces a groundbreaking dynamic factor model named RVRAE. This model is a probabilistic approach that addresses the temporal dependencies and noise in market data. RVRAE ingeniously combines the principles of dynamic factor modeling with the variational recurrent autoencoder (VRAE) from deep learning. A key feature of RVRAE is its use of a prior-posterior learning method. This method fine-tunes the model's learning process by seeking an optimal posterior factor model informed by future data. Notably, RVRAE is adept at risk modeling in volatile stock markets, estimating variances from latent space distributions while also predicting returns. Our empirical tests with real stock market data underscore RVRAE's superior performance compared to various established baseline methods.

This paper discusses the use of multilayer feed forward neural networks for predicting a stock's excess return based on its exposure to various technical and fundamental factors. To demonstrate the effectiveness of the approach a hedged portfolio which consists of equally capitalized long and short positions is constructed and its historical returns are benchmarked against T-bill returns and the S&P500 index. 1 Introduction

This paper discusses the use of multilayer feed forward neural networks for predicting a stock's excess return based on its exposure to various technical and fundamental factors. To demonstrate the effectiveness of the approach a hedged portfolio which consists of equally capitalized long and short positions is constructed and its historical returns are benchmarked against T-bill returns and the S&P500 index. 1 Introduction

This paper discusses the use of multilayer feedforward neural networks forpredicting a stock's excess return based on its exposure to various technical and fundamental factors. To demonstrate the effectiveness of the approach a hedged portfolio which consists of equally capitalized long and short positions is constructed and its historical returns are benchmarked against T-bill returns and the S&P500 index. 1 Introduction