Diffolio: A Diffusion Model for Multivariate Probabilistic Financial Time-Series Forecasting and Portfolio Construction

ArXi:2511.07014v2 Announce Type: replace-cross Probabilistic forecasting is crucial in multivariate financial time-series for constructing efficient portfolios that account for complex cross-sectional dependencies. In this paper, we propose Diffolio, a diffusion model designed for multivariate financial time-series forecasting and portfolio construction. Diffolio employs a denoising network with a hierarchical attention architecture, comprising both asset-level and market-level layers. Furthermore, to better reflect cross-sectional correlations, we