{"id":"https://openalex.org/W4415482493","doi":"https://doi.org/10.1109/access.2025.3624822","title":"RegimeFolio: A Regime Aware ML System for Sectoral Portfolio Optimization in Dynamic Markets","display_name":"RegimeFolio: A Regime Aware ML System for Sectoral Portfolio Optimization in Dynamic Markets","publication_year":2025,"publication_date":"2025-01-01","ids":{"openalex":"https://openalex.org/W4415482493","doi":"https://doi.org/10.1109/access.2025.3624822"},"language":"en","primary_location":{"id":"doi:10.1109/access.2025.3624822","is_oa":true,"landing_page_url":"https://doi.org/10.1109/access.2025.3624822","pdf_url":null,"source":{"id":"https://openalex.org/S2485537415","display_name":"IEEE Access","issn_l":"2169-3536","issn":["2169-3536"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310319808","host_organization_name":"Institute of Electrical and Electronics Engineers","host_organization_lineage":["https://openalex.org/P4310319808"],"host_organization_lineage_names":["Institute of Electrical and Electronics Engineers"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"IEEE Access","raw_type":"journal-article"},"type":"article","indexed_in":["crossref","doaj"],"open_access":{"is_oa":true,"oa_status":"gold","oa_url":"https://doi.org/10.1109/access.2025.3624822","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5079044146","display_name":"Yiyao Zhang","orcid":"https://orcid.org/0009-0009-6018-2612"},"institutions":[{"id":"https://openalex.org/I5681781","display_name":"University of Adelaide","ror":"https://ror.org/00892tw58","country_code":"AU","type":"education","lineage":["https://openalex.org/I5681781"]}],"countries":["AU"],"is_corresponding":true,"raw_author_name":"Yiyao Zhang","raw_affiliation_strings":["The University of Adelaide, Adelaide, SA, Australia","The University of Adelaide, Australia"],"affiliations":[{"raw_affiliation_string":"The University of Adelaide, Adelaide, SA, Australia","institution_ids":["https://openalex.org/I5681781"]},{"raw_affiliation_string":"The University of Adelaide, Australia","institution_ids":["https://openalex.org/I5681781"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5084412291","display_name":"Diksha Goel","orcid":"https://orcid.org/0000-0001-8212-8793"},"institutions":[{"id":"https://openalex.org/I1292875679","display_name":"Commonwealth Scientific and Industrial Research Organisation","ror":"https://ror.org/03qn8fb07","country_code":"AU","type":"funder","lineage":["https://openalex.org/I1292875679","https://openalex.org/I2801453606","https://openalex.org/I4387156119"]},{"id":"https://openalex.org/I42894916","display_name":"Data61","ror":"https://ror.org/03q397159","country_code":"AU","type":"other","lineage":["https://openalex.org/I1292875679","https://openalex.org/I2801453606","https://openalex.org/I42894916","https://openalex.org/I4387156119"]}],"countries":["AU"],"is_corresponding":false,"raw_author_name":"Diksha Goel","raw_affiliation_strings":["CSIRO&#x2019;s Data61, Melbourne, VIC, Australia","CSIRO&#x2019;s Data61, Australia"],"affiliations":[{"raw_affiliation_string":"CSIRO&#x2019;s Data61, Melbourne, VIC, Australia","institution_ids":["https://openalex.org/I42894916","https://openalex.org/I1292875679"]},{"raw_affiliation_string":"CSIRO&#x2019;s Data61, Australia","institution_ids":["https://openalex.org/I42894916","https://openalex.org/I1292875679"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5101660408","display_name":"Hussain Ahmad","orcid":"https://orcid.org/0000-0001-8815-7587"},"institutions":[{"id":"https://openalex.org/I5681781","display_name":"University of Adelaide","ror":"https://ror.org/00892tw58","country_code":"AU","type":"education","lineage":["https://openalex.org/I5681781"]}],"countries":["AU"],"is_corresponding":false,"raw_author_name":"Hussain Ahmad","raw_affiliation_strings":["The University of Adelaide, Adelaide, SA, Australia","The University of Adelaide, Australia"],"affiliations":[{"raw_affiliation_string":"The University of Adelaide, Adelaide, SA, Australia","institution_ids":["https://openalex.org/I5681781"]},{"raw_affiliation_string":"The University of Adelaide, Australia","institution_ids":["https://openalex.org/I5681781"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5016821538","display_name":"Claudia Szabo","orcid":"https://orcid.org/0000-0003-2501-1155"},"institutions":[{"id":"https://openalex.org/I5681781","display_name":"University of Adelaide","ror":"https://ror.org/00892tw58","country_code":"AU","type":"education","lineage":["https://openalex.org/I5681781"]}],"countries":["AU"],"is_corresponding":false,"raw_author_name":"Claudia Szabo","raw_affiliation_strings":["The University of Adelaide, Adelaide, SA, Australia","The University of Adelaide, Australia"],"affiliations":[{"raw_affiliation_string":"The University of Adelaide, Adelaide, SA, Australia","institution_ids":["https://openalex.org/I5681781"]},{"raw_affiliation_string":"The University of Adelaide, Australia","institution_ids":["https://openalex.org/I5681781"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5079044146"],"corresponding_institution_ids":["https://openalex.org/I5681781"],"apc_list":{"value":1850,"currency":"USD","value_usd":1850},"apc_paid":{"value":1850,"currency":"USD","value_usd":1850},"fwci":4.9329,"has_fulltext":false,"cited_by_count":2,"citation_normalized_percentile":{"value":0.95482732,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":91,"max":99},"biblio":{"volume":"13","issue":null,"first_page":"184722","last_page":"184744"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.8611000180244446,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.8611000180244446,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.7856000065803528,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/interpretability","display_name":"Interpretability","score":0.6674000024795532},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.6552000045776367},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.6283000111579895},{"id":"https://openalex.org/keywords/asset-allocation","display_name":"Asset allocation","score":0.616100013256073},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.5812000036239624},{"id":"https://openalex.org/keywords/robustness","display_name":"Robustness (evolution)","score":0.5651999711990356},{"id":"https://openalex.org/keywords/sharpe-ratio","display_name":"Sharpe ratio","score":0.4934000074863434},{"id":"https://openalex.org/keywords/rate-of-return-on-a-portfolio","display_name":"Rate of return on a portfolio","score":0.4544999897480011},{"id":"https://openalex.org/keywords/covariance","display_name":"Covariance","score":0.38420000672340393}],"concepts":[{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.6820999979972839},{"id":"https://openalex.org/C2781067378","wikidata":"https://www.wikidata.org/wiki/Q17027399","display_name":"Interpretability","level":2,"score":0.6674000024795532},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.6552000045776367},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6283000111579895},{"id":"https://openalex.org/C139819358","wikidata":"https://www.wikidata.org/wiki/Q462748","display_name":"Asset allocation","level":3,"score":0.616100013256073},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.5812000036239624},{"id":"https://openalex.org/C63479239","wikidata":"https://www.wikidata.org/wiki/Q7353546","display_name":"Robustness (evolution)","level":3,"score":0.5651999711990356},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5034000277519226},{"id":"https://openalex.org/C139938925","wikidata":"https://www.wikidata.org/wiki/Q1501898","display_name":"Sharpe ratio","level":3,"score":0.4934000074863434},{"id":"https://openalex.org/C104946779","wikidata":"https://www.wikidata.org/wiki/Q7295542","display_name":"Rate of return on a portfolio","level":4,"score":0.4544999897480011},{"id":"https://openalex.org/C178650346","wikidata":"https://www.wikidata.org/wiki/Q201984","display_name":"Covariance","level":2,"score":0.38420000672340393},{"id":"https://openalex.org/C101468663","wikidata":"https://www.wikidata.org/wiki/Q1620158","display_name":"Modular design","level":2,"score":0.38260000944137573},{"id":"https://openalex.org/C2993800227","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio allocation","level":3,"score":0.34700000286102295},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.34689998626708984},{"id":"https://openalex.org/C19244329","wikidata":"https://www.wikidata.org/wiki/Q208697","display_name":"Financial market","level":2,"score":0.34549999237060547},{"id":"https://openalex.org/C154611145","wikidata":"https://www.wikidata.org/wiki/Q4331879","display_name":"Expected return","level":3,"score":0.3393000066280365},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.3109999895095825},{"id":"https://openalex.org/C37404715","wikidata":"https://www.wikidata.org/wiki/Q380679","display_name":"Dynamic programming","level":2,"score":0.30469998717308044},{"id":"https://openalex.org/C125014702","wikidata":"https://www.wikidata.org/wiki/Q4680749","display_name":"Adaptive learning","level":2,"score":0.2948000133037567},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.2939999997615814},{"id":"https://openalex.org/C74510933","wikidata":"https://www.wikidata.org/wiki/Q1936145","display_name":"Project portfolio management","level":3,"score":0.28600001335144043},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.2854999899864197},{"id":"https://openalex.org/C60092789","wikidata":"https://www.wikidata.org/wiki/Q7301291","display_name":"Realized variance","level":3,"score":0.2745000123977661},{"id":"https://openalex.org/C9725762","wikidata":"https://www.wikidata.org/wiki/Q1072885","display_name":"Modern portfolio theory","level":3,"score":0.26420000195503235},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.2637999951839447},{"id":"https://openalex.org/C101161028","wikidata":"https://www.wikidata.org/wiki/Q129096","display_name":"Equity premium puzzle","level":3,"score":0.2628999948501587}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1109/access.2025.3624822","is_oa":true,"landing_page_url":"https://doi.org/10.1109/access.2025.3624822","pdf_url":null,"source":{"id":"https://openalex.org/S2485537415","display_name":"IEEE Access","issn_l":"2169-3536","issn":["2169-3536"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310319808","host_organization_name":"Institute of Electrical and Electronics Engineers","host_organization_lineage":["https://openalex.org/P4310319808"],"host_organization_lineage_names":["Institute of Electrical and Electronics Engineers"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"IEEE Access","raw_type":"journal-article"},{"id":"pmh:oai:doaj.org/article:f3b49ca28cd94b1ab00ba1b9cd454599","is_oa":true,"landing_page_url":"https://doaj.org/article/f3b49ca28cd94b1ab00ba1b9cd454599","pdf_url":null,"source":{"id":"https://openalex.org/S112646816","display_name":"SHILAP Revista de lepidopterolog\u00eda","issn_l":"0300-5267","issn":["0300-5267","2340-4078"],"is_oa":true,"is_in_doaj":true,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"IEEE Access, Vol 13, Pp 184722-184744 (2025)","raw_type":"article"}],"best_oa_location":{"id":"doi:10.1109/access.2025.3624822","is_oa":true,"landing_page_url":"https://doi.org/10.1109/access.2025.3624822","pdf_url":null,"source":{"id":"https://openalex.org/S2485537415","display_name":"IEEE Access","issn_l":"2169-3536","issn":["2169-3536"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310319808","host_organization_name":"Institute of Electrical and Electronics Engineers","host_organization_lineage":["https://openalex.org/P4310319808"],"host_organization_lineage_names":["Institute of Electrical and Electronics Engineers"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"IEEE Access","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":0,"referenced_works":[],"related_works":[],"abstract_inverted_index":{"Financial":[0],"markets":[1],"are":[2],"inherently":[3],"non-stationary,":[4],"with":[5,60,78,123],"shifting":[6],"volatility":[7,57,182],"regimes":[8,183],"that":[9,179],"alter":[10],"asset":[11],"co-movements":[12],"and":[13,43,64,73,84,104,117,161,171,187,192],"return":[14,115,148],"distributions.":[15],"Standard":[16],"portfolio":[17,74,188],"optimization":[18],"methods,":[19],"typically":[20],"built":[21],"on":[22,133],"stationarity":[23],"or":[24],"regime-agnostic":[25,49],"assumptions,":[26],"struggle":[27],"to":[28,30,112,141,169,194],"adapt":[29],"such":[31],"changes.":[32],"To":[33],"address":[34],"these":[35],"challenges,":[36],"we":[37],"propose":[38],"RegimeFolio,":[39],"a":[40,119,146,151,156,162],"novel":[41],"regime-aware":[42,128],"sector-specialized":[44],"framework":[45,144],"that,":[46],"unlike":[47],"existing":[48],"models":[50],"(e.g.,":[51],"DeepVol,":[52],"DRL":[53],"optimizers),":[54],"integrates":[55],"explicit":[56],"regime":[58,100,103],"segmentation":[59],"sector-specific":[61,105],"ensemble":[62,106],"forecasting":[63],"adaptive":[65],"mean\u2013variance":[66,121],"allocation.":[67,129],"This":[68],"modular":[69],"architecture":[70],"ensures":[71],"forecasts":[72],"decisions":[75],"remain":[76],"aligned":[77],"current":[79],"market":[80,99],"conditions,":[81],"enhancing":[82],"robustness":[83,191],"interpretability":[85],"in":[86,165,184,198],"dynamic":[87,120],"markets.":[88,200],"RegimeFolio":[89,132],"combines":[90],"three":[91],"components:":[92],"(i)":[93],"an":[94],"interpretable":[95],"VIX-based":[96],"classifier":[97],"for":[98,127],"detection;":[101],"(ii)":[102],"learners":[107],"(Random":[108],"Forest,":[109],"Gradient":[110],"Boosting)":[111],"capture":[113],"conditional":[114],"structures;":[116],"(iii)":[118],"optimizer":[122],"shrinkage-regularized":[124],"covariance":[125],"estimates":[126],"We":[130],"evaluate":[131],"34":[134],"large":[135],"cap":[136],"U.S.":[137],"equities":[138],"from":[139],"2020":[140],"2024.":[142],"The":[143],"achieves":[145],"annualized":[147],"of":[149,154],"25.1%,":[150],"Sharpe":[152],"ratio":[153],"1.17,":[155],"12%":[157],"lower":[158],"maximum":[159],"drawdown,":[160],"15\u201320%":[163],"improvement":[164],"forecast":[166],"accuracy":[167],"compared":[168],"conventional":[170],"advanced":[172],"machine":[173],"learning":[174,186],"benchmarks.":[175],"These":[176],"results":[177],"show":[178],"explicitly":[180],"modeling":[181],"predictive":[185],"allocation":[189],"enhances":[190],"leads":[193],"more":[195],"dependable":[196],"decision-making":[197],"real":[199]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":1}],"updated_date":"2026-03-07T16:01:11.037858","created_date":"2025-10-24T00:00:00"}
