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Deep Parametric Portfolio Policies

Frederik Simon
Frederik Simon
[email protected]
https://orcid.org/0009-0008-5102-3313
LIQID Asset Management, 10707 Berlin, Germany
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Sebastian Weibels
Sebastian Weibels
[email protected]
https://orcid.org/0000-0001-8711-5393
Department of Econometrics and Statistics, University of Cologne, 50931 Cologne, Germany; and Centre for Financial Research, 50923 Cologne, Germany
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Tom Zimmermann
Corresponding Author
Tom Zimmermann
[email protected]
https://orcid.org/0000-0002-0368-5303
Department of Econometrics and Statistics, University of Cologne, 50931 Cologne, Germany; and Centre for Financial Research, 50923 Cologne, Germany
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Frederik Simon

[email protected]

https://orcid.org/0009-0008-5102-3313

LIQID Asset Management, 10707 Berlin, Germany

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,

Sebastian Weibels

Sebastian Weibels

[email protected]

https://orcid.org/0000-0001-8711-5393

Department of Econometrics and Statistics, University of Cologne, 50931 Cologne, Germany; and Centre for Financial Research, 50923 Cologne, Germany

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,

Corresponding Author

Tom Zimmermann

[email protected]

https://orcid.org/0000-0002-0368-5303

Department of Econometrics and Statistics, University of Cologne, 50931 Cologne, Germany; and Centre for Financial Research, 50923 Cologne, Germany

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Published Online:3 Jun 2026https://doi.org/10.1287/mnsc.2025.00721

cover image Management Science

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Received:February 21, 2025
Accepted:December 30, 2025
Published Online:June 03, 2026

Copyright © 2026 The Author(s)

Cite as

Frederik Simon, Sebastian Weibels, Tom Zimmermann (2026) Deep Parametric Portfolio Policies. Management Science 0(0).

https://doi.org/10.1287/mnsc.2025.00721

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Acknowledgments

The authors thank Victor DeMiguel, Christian Fieberg, Bryan Kelly, Alexander Klos, Simon Rottke, Mark Salmon, Fabricius Somogyi (discussant), Bastidon Cécile (discussant), Heiner Beckmeyer (discussant) and seminar participants at the Amsterdam Business School, the Research in Behavioral Finance Conference (RBFC), the Cardiff Fintech Conference, the 2022 New Zealand Finance Meeting (NZFM), the Paris Financial Management Conference (PFMC), the Theory-based Empirical Asset Pricing Research (TBEAR) Network Workshop 2023, the University of Liechtenstein, University Pompeu Fabra, the CEQURA Conference 2023 on Advances in Financial and Insurance Risk Management, the BVI-CFR Event 2023, the 4th Frontiers of Factor Investing 2024 Conference, the Oxford-Man Institute of Quantitative Finance, and the International Monetary Fund (IMF) Brownbag Research Seminar for helpful comments and suggestions.