Transformer-based covariance and semi-covariance forecasts are claimed to improve ETF portfolio returns, but the supporting backtest is short, leaky, and unreproducible.
, : Estimating covariance matrices in high-dimensional finance
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Dynamic ETF Portfolio Optimization Using enhanced Transformer-Based Models for Covariance and Semi-Covariance Prediction(Work in Progress)
Transformer-based covariance and semi-covariance forecasts are claimed to improve ETF portfolio returns, but the supporting backtest is short, leaky, and unreproducible.