{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,9]],"date-time":"2026-10-09T05:50:53Z","timestamp":1791525053834,"version":"4.3.4"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>We study a sequential stochastic portfolio optimization problem in which the set of admissible assets depends on the data, predictive inputs are uncertain, risk-control parameters are state dependent, and execution decisions affect the state of the next optimization problem. We treat portfolio composition and total risky exposure as distinct decisions. We formalize the investable universe as an endogenous feasible-set operator and derive a score-margin stability condition. We then characterize an internally generated forward risk state produced by the scenario-based optimizer, derive conditions under which expected-return information distorts that signal, and construct a centered risk operator that removes this distortion. A horizon-diversified controller combines the resulting slow, model-implied risk state with fast realized volatility. Partial execution satisfies exact contraction and turnover identities, and the full policy is shown to be adapted to decision-time information. In our empirical study, the combined controller reduces maximum drawdown by more than 50% while delivering similar risk-adjusted performance across 83 monthly walk-forward decisions on 220 U.S. exchange-traded funds. Mechanism tests isolate timing effects from mechanical exposure reduction and transaction-cost effects.<\/jats:p>","DOI":"10.2139\/ssrn.7581160","type":"posted-content","created":{"date-parts":[[2026,10,9]],"date-time":"2026-10-09T05:14:25Z","timestamp":1791522865000},"source":"Crossref","is-referenced-by-count":0,"title":["Sequential Stochastic Portfolio Optimization with Endogenous Feasible Sets and Horizon Diversified Risk Control"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-1165-489X","authenticated-orcid":true,"given":"Darko","family":"Vukovic","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Vahid","family":"Bakhishov","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Vyacheslav","family":"Zinovev","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Adel","family":"Dalal","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,9]],"date-time":"2026-10-09T05:14:25Z","timestamp":1791522865000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7581160"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7581160","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}