Less Is More: Forecast Granularity, Estimation Error, and Portfolio Choice
Investors using machine-learning forecasts can achieve Sharpe ratios of 1.2 by adjusting the number of portfolio groups based on the forecast's information coefficient, beating standard decile sorts.
Featured in No. 133 on 2 Oct 2026 · 1 day after release
- Released
- 1 Oct 2026
- First featured
- No. 133 · 2 Oct 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 2 of 5
- Identifier
- SSRN 7547959
- Authors
- Lukas Salcher et al.
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).