Autoencoding Conditional GAN for Portfolio Allocation Diversification

Over the decades, the Markowitz framework has been used extensively in portfolio analysis though it puts too much emphasis on the analysis of the market uncertainty rather than on the trend prediction. While generative adversarial network (GAN) and conditional GAN (CGAN) have been explored to generate financial time series and extract features that can help portfolio analysis. The limitation of the CGAN framework stands in putting too much emphasis on generating series rather than keeping featur...