arXiv subjects

Kentaro Baba

Publications and source records attributed to Kentaro Baba.

4 recordsLinked to original sources

arXiv2025

Bayesian Portfolio Optimization by Predictive Synthesis

Portfolio optimization is a critical task in investment. Most existing portfolio optimization methods require information on the distribution of returns of the assets that make up the portfolio. However, such distribution information is usually unknown to investors. Various methods have been proposed to estimate distribution information, but their accuracy greatly depends on the uncertainty of the financial markets. Due to this uncertainty, a model that could well predict the distribution information at one point in time may perform less accurately compared to another model at a different time. To solve this problem, we investigate a method for portfolio optimization based on Bayesian predictive synthesis (BPS), one of the Bayesian ensemble methods for meta-learning. We assume that investors have access to multiple asset return prediction models. By using BPS with dynamic linear models to combine these predictions, we can obtain a Bayesian predictive posterior about the mean rewards of assets that accommodate the uncertainty of the financial markets. In this study, we examine how to construct mean-variance portfolios and quantile-based portfolios based on the predicted distribution information.

econ.EM↗

arXiv2025

Learning from Double Positive and Unlabeled Data for Potential-Customer Identification

In this study, we propose a method for identifying potential customers in targeted marketing by applying learning from positive and unlabeled data (PU learning). We consider a scenario in which a company sells a product and can observe only the customers who purchased it. Decision-makers seek to market products effectively based on whether people have loyalty to the company. Individuals with loyalty are those who are likely to remain interested in the company even without additional advertising. Consequently, those loyal customers would likely purchase from the company if they are interested in the product. In contrast, people with lower loyalty may overlook the product or buy similar products from other companies unless they receive marketing attention. Therefore, by focusing marketing efforts on individuals who are interested in the product but do not have strong loyalty, we can achieve more efficient marketing. To achieve this goal, we consider how to learn, from limited data, a classifier that identifies potential customers who (i) have interest in the product and (ii) do not have loyalty to the company. Although our algorithm comprises a single-stage optimization, its objective function implicitly contains two losses derived from standard PU learning settings. For this reason, we refer to our approach as double PU learning. We verify the validity of the proposed algorithm through numerical experiments, confirming that it functions appropriately for the problem at hand.

cs.LG↗

arXiv2024

Analysis of Parameterized Quantum Circuits: on The Connection Between Expressibility and Types of Quantum Gates

Expressibility is a crucial factor of a Parameterized Quantum Circuit (PQC). In the context of Variational Quantum Algorithms (VQA) based Quantum Machine Learning (QML), a QML model composed of highly expressible PQC and sufficient number of qubits is theoretically capable of approximating any arbitrary continuous function. While much research has explored the relationship between expressibility and learning performance, as well as the number of layers in PQCs, the connection between expressibility and PQC structure has received comparatively less attention. In this paper, we analyze the connection between expressibility and the types of quantum gates within PQCs using a Gradient Boosting Tree model and SHapley Additive exPlanations (SHAP) values. Our analysis is performed on 1,615 instances of PQC derived from 19 PQC topologies, each with 2-18 qubits and 1-5 layers. The findings of our analysis provide guidance for designing highly expressible PQCs, suggesting the integration of more RX or RY gates while maintaining a careful balance with the number of CNOT gates. Furthermore, our evaluation offers an additional evidence of expressibility saturation, as observed by previous studies.

quant-ph↗

arXiv2020

Mean-Variance Efficient Reinforcement Learning with Applications to Dynamic Financial Investment

This study investigates the mean-variance (MV) trade-off in reinforcement learning (RL), an instance of the sequential decision-making under uncertainty. Our objective is to obtain MV-efficient policies whose means and variances are located on the Pareto efficient frontier with respect to the MV trade-off; under the condition, any increase in the expected reward would necessitate a corresponding increase in variance, and vice versa. To this end, we propose a method that trains our policy to maximize the expected quadratic utility, defined as a weighted sum of the first and second moments of the rewards obtained through our policy. We subsequently demonstrate that the maximizer indeed qualifies as an MV-efficient policy. Previous studies that employed constrained optimization to address the MV trade-off have encountered computational challenges. However, our approach is more computationally efficient as it eliminates the need for gradient estimation of variance, a contributing factor to the double sampling issue observed in existing methodologies. Through experimentation, we validate the efficacy of our approach.

cs.LG↗