most citedMaking Good on LSTMs' Unfulfilled Promise

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q-fin.ST2023★ 1 cited

Improved Data Generation for Enhanced Asset Allocation: A Synthetic Dataset Approach for the Fixed Income Universe

Szymon Kubiak, Tillman Weyde, Oleksandr Galkin +2

We present a novel process for generating synthetic datasets tailored to assess asset allocation methods and construct portfolios within the fixed income universe. Our approach beg…