MAPLE: Efficient and Diverse Multi-Alpha Generation for Portfolio Construction

תקציר מקורי באנגליתarXiv:2607.24131v1 Announce Type: new Abstract: Classical alpha mining achieves strong risk-adjusted returns by combining many low-correlated predictive signals, yet deep learning stock-ranking methods typically produce a single alpha per stock, rely on increasingly complex architectures with diminishing gains, and obtain diversity only through separate models or implicit routing, without explicitly controlling inter-alpha correlation. We introduce MAPLE (Multi-Alpha Position-aware Listwise Ensembling), a backbone-agnostic framework that recovers this diversity principle within a single training pass. MAPLE combines a unified, capacity-scaled prediction head with an extreme-rank weighted listwise ranking loss and a diversity regularizer that explicitly penalizes pairwise correlation across