Benchmark of 15 time-series architectures on equity portfolios finds no model dominates, with TransEnc-8 at 0.352 rank-1 acceptability and all promoted models showing negative net Sharpe at 20 bps costs under constraints.
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2 Pith papers cite this work. Polarity classification is still indexing.
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Pith papers citing it
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2026 2verdicts
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Compares post-selection estimators for the maximum observed Sharpe ratio using simulations and finds James-Stein shrinkage yields lowest bias and RMSE across tested parameters.
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Benchmarking Deep Time Series Models for Equity Portfolios
Benchmark of 15 time-series architectures on equity portfolios finds no model dominates, with TransEnc-8 at 0.352 rank-1 acceptability and all promoted models showing negative net Sharpe at 20 bps costs under constraints.
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Post Selection Estimation of Sharpe Ratios
Compares post-selection estimators for the maximum observed Sharpe ratio using simulations and finds James-Stein shrinkage yields lowest bias and RMSE across tested parameters.