Dual-Adversarial Dynamic Variational Asset Pricing with Adaptive Spatio-Temporal Feature Clustering for Portfolio Recommendation

摘要

Asset pricing and portfolio recommendation are two closely related fundamental tasks in quantitative investment, for which machine learning methods have attracted significant attention in both academia and industry. In particular, nonlinear asset pricing models based on deep learning architectures that learn risk factors and risk exposures (betas) conditioned on high-dimensional asset characteristics have become widely used in the field. Despite their popularity, three challenges remain for portfolio recommendation: (i) their static risk pricing structure constrains predictive performance for expected returns; (ii) their representation learning is typically deterministic or fails to account for the inherent distributional uncertainty in the feature space arising from noisy returns and heterogeneous characteristics; and (iii) the sparse factor structure of asset returns and the diversity of characteristics make it difficult to identify incremental predictive information. To address these issues and bridge the gap to practical applications, we propose a novel multi-task dynamic factor model that jointly performs asset pricing and portfolio recommendation. Specifically, we introduce dual-adversarial trainers into the variational prior-posterior learning framework for Factor and Beta Networks, augmented with probabilistic equivariance regularization and dual adaptive spatio-temporal clustering. These components filter redundant information and enhance the model's ability to adapt to changing market conditions. Extensive experiments on a comprehensive open-source stock market dataset demonstrate that our model achieves strong and robust performance relative to baseline methods in the literature.