Claims: Assessing the Benefits of Optimized Agentic AI Systems for Asset Pricing -- by Ralph S. J. Koijen, Bradford Levy
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- title: Assessing the Benefits of Optimized Agentic AI Systems for Asset Pricing -- by Ralph S. J. Koijen, Bradford Levy Source
- url: https://www.nber.org/papers/w35431#fromrss Source
- summary: Evaluating optimized AI systems for asset pricing is fundamentally difficult for two reasons. First, models are trained on all data, implying that any backtest or analysis using historical data suffers from look-ahead bias. In addition, markets are reflexive — as investors adopt AI, prices adjust — which may erode the very patterns the AI system was trained to exploit. We introduce a real-time, out-of-sample benchmark designed to sidestep both problems. The benchmark measures how well AI systems… Source