End-to-end AI policies for cross-asset futures timing outperform rules-based benchmarks on pooled portfolios but vary by asset class, with transformers showing better cost-adjusted performance than LSTMs.
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End-to-End Parametric Portfolio Policies for Cross-Asset Futures Timing: When Do AI Models Beat Simple Rules?
End-to-end AI policies for cross-asset futures timing outperform rules-based benchmarks on pooled portfolios but vary by asset class, with transformers showing better cost-adjusted performance than LSTMs.