Timing is important: Risk-aware Fund Allocation based on Time-Series Forcasting

Fund allocation has been an increasingly important problem in the financial domain.In reality, we aim to allocate the funds to buy certain assets within a certain future period. Naive solutions such as prediction-only or Predict-then-Optimize approaches suffer from goal mismatch. Additionally, the introduction of the SOTA time series forecasting model inevitably introduces additional uncertainty in the predicted result.To solve both problems mentioned above, we introduce a Risk-aware Time-Series Predict-and-Allocate (RTS-PnO) framework, which holds no prior assumption on the forecasting models. Such a framework contains two features: (i) end-to-end training with objective alignment measurement, (ii) adaptive forecasting uncertainty calibration, and (iii) agnostic towards forecasting models. The evaluation of RTS-PnO is conducted over eight datasets from three categories of financial applications: Currency, Stock, and Cryptos. RTS-PnO consistently outperforms other competitive baselines.