A decision-focused neural network using GPT-2 embeddings for stocks and macro context reports higher Sharpe ratios and terminal wealth than deep learning baselines, but flawed proofs and survivorship-biased data undermine the claim.
and Timmermann, A., Do return prediction models add economic value?.Journal of Banking & Finance, 2012, 36, 2974–2987
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Decision-informed Neural Networks with Large Language Model Integration for Portfolio Optimization
A decision-focused neural network using GPT-2 embeddings for stocks and macro context reports higher Sharpe ratios and terminal wealth than deep learning baselines, but flawed proofs and survivorship-biased data undermine the claim.