{"id":"W4386024753","doi":"10.1016/j.ejor.2023.08.028","title":"Across-time risk-aware strategies for outperforming a benchmark","year":2023,"lang":"en","type":"article","venue":"European Journal of Operational Research","topic":"Financial Markets and Investment Strategies","field":"Economics, Econometrics and Finance","cited_by":6,"is_retracted":false,"has_abstract":false,"ca_institutions":"University of Waterloo","funders":"Natural Sciences and Engineering Research Council of Canada","keywords":"Stylized fact; Benchmark (surveying); Investment strategy; Time horizon; Computer science; Portfolio; Mathematical optimization; Asset allocation; Dynamic programming; Econometrics; Economics; Mathematics; Finance; Market liquidity","routes":{"ca_aff":true,"ca_fund":true,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"codex-gemma-dda1882f352a","candidate_categories":["insufficient_payload"],"consensus_categories":[],"category_scores_codex":[0.01073729,0.0001139203,0.0002592784,0.0003624308,0.0006610608,0.000587144,0.0004045125,0.00003146489,0.0004720804],"category_scores_gemma":[0.001102209,0.0001063946,0.0001490609,0.000442083,0.000138318,0.0008533451,0.00009847096,0.0003849732,0.001120493],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.00007236723,"about_ca_system_score_gemma":0.0002022488,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.00001653806,"about_ca_topic_score_gemma":0.000002847881,"domain_scores_codex":[0.9981899,0.0001652693,0.0007863867,0.0002169223,0.0001965647,0.0004449195],"domain_scores_gemma":[0.9986378,0.0003223817,0.0002985125,0.0001521082,0.0004812022,0.0001079737],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"not_applicable","study_design_scores_codex":[0.0005123146,0.000223,0.01399165,0.0001428076,0.0002581037,0.0001955481,0.005055198,0.005522882,0.0008852507,0.7657236,0.1979451,0.009544572],"study_design_scores_gemma":[0.003171066,0.002918151,0.2725783,0.0001977473,0.000009552515,0.0000490543,0.005440927,0.02354183,0.0001571992,0.1321889,0.5590845,0.0006628269],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":null,"genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.9062003,0.0007245301,0.002423814,0.001780323,0.0005153301,0.0003521621,0.000460319,0.00002729021,0.08751597],"genre_scores_gemma":[0.9935606,0.0004566884,0.0009451463,0.0000769348,0.0007376996,0.00000978747,0.00003556428,0.00003519917,0.004142452],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.6335347,"threshold_uncertainty_score":0.9996573,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.1348383848278348,"score_gpt":0.3530009969702754,"score_spread":0.2181626121424406,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}