Deep Learning for Global Tactical Asset Allocation
“We also find that adding a layer of error correction helps reduce drawdown significantly during the 2008 financial crisis.”
AssetMulti-assetETFs
StrategyMarket timingmacro signals
TechniqueFeedforward networkBayesian
GeographyGlobalUS
Also stated: Sharpe ratio, Drawdown, out-of-sample test
Missing from abstract: benchmark, costs, multiple testing, universe
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The paper's neighbourhoodMarket timing and tactical asset allocation by year
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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