Introduces a paired one-switch benchmark that quantifies protocol-induced inflation from decision-time leakage in financial ML backtests on equity panels from 2016-2024.
Asset pricing and machine learning: A critical review.Journal of Economic Surveys, 38(1):27–56, 2024
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A semi-supervised teacher-student framework enables neural networks to proxy CVaR portfolio optimization using synthetic data augmentation for scarce labels and regime shifts.
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When Alpha Disappears: A One-Switch Benchmark for Decision-Time Leakage in Financial Backtests
Introduces a paired one-switch benchmark that quantifies protocol-induced inflation from decision-time leakage in financial ML backtests on equity panels from 2016-2024.
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Portfolio Optimization Proxies under Label Scarcity and Regime Shifts via Bayesian and Deterministic Students under Semi-Supervised Sandwich Training
A semi-supervised teacher-student framework enables neural networks to proxy CVaR portfolio optimization using synthetic data augmentation for scarce labels and regime shifts.