Attention is all you need: An interpretable transformer-based asset allocation approach
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DOI: 10.1016/j.irfa.2023.102876
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- Xiao, Xiang & Hua, Xia & Qin, Kexin, 2024. "A self-attention based cross-sectional return forecasting model with evidence from the Chinese market," Finance Research Letters, Elsevier, vol. 62(PA).
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Keywords
Transformer model; Asset allocation; SHAP; Chinese stock market;All these keywords.
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