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q-fin.ST2026
End-to-End Parametric Portfolio Policies for Cross-Asset Futures Timing: When Do AI Models Beat Simple Rules?
Austin Pollok, Kevin Robik
Timing-based tilts across asset classes can drive much of the risk and return of a diversified cross-asset portfolio. The standard approach forecasts returns and then optimizes wei…
q-fin.ST2025
Predicting Realized Variance Out of Sample: Can Anything Beat The Benchmark?
Austin Pollok
The discrepancy between realized volatility and the market's view of volatility has been known to predict individual equity options at the monthly horizon. It is not clear how this…