A neural stochastic discount factor that reads news text through a pretrained language model and macro data through an LSTM reports out-of-sample Sharpe 2.80 on US equities from 2000 to 2022.
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NewsNet-SDF: Stochastic Discount Factor Estimation with Pretrained Language Model News Embeddings via Adversarial Networks
A neural stochastic discount factor that reads news text through a pretrained language model and macro data through an LSTM reports out-of-sample Sharpe 2.80 on US equities from 2000 to 2022.