发表机构
University of Cape Town（开普敦大学）
机构由 AI 辅助整理，请以论文原文为准。AI 中文总结
该研究提出无需跨资产收益协方差的投资组合风险界方法，利用Qwen3-Embedding-8B新闻表示构建配置，在52家企业样本中表现优于等风险权重。
AI 中文摘要
投资组合风险评估通常依赖于可靠的跨资产收益协方差估计，但在短时间、高维面板数据中难以获取此类估计。本文表明，企业层面的分布值特征可提供投资组合风险的单侧证明。在特征与系统性敞口、敞口与收益之间存在既定关联的前提下，多企业Wasserstein-2离散度可得到系统性投资组合方差的尖锐上界，以及标准化收益的对应界。加权成对松弛产生的目标函数在可验证条件下为凸函数，仅需边际波动率尺度，无需跨资产收益协方差。在零企业特定松弛的情况下，公共映射尺度会改变已证明的方差缩减，但不改变归一化配置，后者仅取决于观测到的信息几何。在2018-2022年的52家企业面板数据中，基于Qwen3-Embedding-8B新闻表示构建的配置，在四个预先指定的上限投资组合总体中，处于样本内方差百分位的0.69至1.33之间；等风险权重则处于21.1至28.6百分位之间。相对于等风险的较低样本内方差排名，在报告的冻结语言模型表示中也同样存在。因此，该框架将分布值企业信息转化为一致的风险界和无需跨资产收益协方差即可构建的可实施配置规则。
英文摘要
Portfolio risk assessment ordinarily relies on reliable estimates of cross-asset return covariances, which are difficult to obtain in short, high-dimensional panels. We show that firm-level distribution-valued characteristics can instead provide one-sided certificates of portfolio risk. Under maintained links from characteristics to systematic exposures and from exposures to returns, multi-firm Wasserstein-2 dispersion yields a sharp upper bound on systematic portfolio variance and a corresponding bound for standardized returns. A weighted pairwise relaxation produces an objective that is convex under a checkable condition and requires marginal volatility scales but no cross-asset return covariances. With zero firm-specific slack, the common-map scale changes the certified variance reduction but not the normalized allocation, which depends only on observed information geometry. In a 52-firm panel from 2018-2022, an allocation constructed from Qwen3-Embedding-8B news representations lies between the 0.69th and 1.33rd in-sample variance percentiles across four prespecified capped portfolio populations; equal risk weighting lies between the 21.1st and 28.6th percentiles. The lower in-sample variance ranking relative to equal risk also appears across the reported frozen language-model representations. The framework therefore distribution-valued firm information into a coherent risk bound and an implementable allocation rule constructed without cross-asset return covariances.
