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ACO advanced Mamba for adaptive portfolio optimization

Author

Listed:
  • Vuković, Darko B.
  • Zinovev, Vyacheslav
  • Ushakov, Fedor
  • Moni, Mohanan

Abstract

We develop a sentiment-aware portfolio optimization model and integrate Ant Colony N Optimization (ACO) into the Mamba neural architecture. Our model adapts to nonlinear dynamics, and it is based on a RuBERT sentiment factor and inflation-adjusted returns. Empirical analysis shows improved risk-return efficiency over Ordinary Least Squares regression model (OLS) and the Sequential Least Squares Programming (SLSQP) under structural volatility and uncertainty.

Suggested Citation

  • Vuković, Darko B. & Zinovev, Vyacheslav & Ushakov, Fedor & Moni, Mohanan, 2025. "ACO advanced Mamba for adaptive portfolio optimization," Finance Research Letters, Elsevier, vol. 86(PE).
    • Handle: RePEc:eee:finlet:v:86:y:2025:i:pe:s1544612325019166
    DOI: 10.1016/j.frl.2025.108662
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    References listed on IDEAS

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