Machine Learning Enhanced Multi-Factor Quantitative Trading: A Cross-Sectional Portfolio Optimization Approach with Bias Correction
“On real A-share data it inflates apparent information coefficient by 18% while reducing realised Sharpe by 0.44 points, because the model learns to predict returns it cannot trade.”
AssetEquities
StrategyPortfolio optimizationfactor investing
GeographyChina
FrequencyDaily
Also stated: 2022–2024, Sharpe ratio, Price and volume
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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