Mozaic AI Paper: Beyond Traditional Models

An in-depth exploration of using machine learning techniques for portfolio optimization.

This document explores the innovative application of machine learning techniques within a portfolio optimization framework, surpassing traditional methods like mean-variance optimization. The paper introduces the use of machine learning models to predict returns, yields, and volatilities for GMX pools, integrating these predictions seamlessly into the portfolio construction process.

Key highlights include:

  • Machine Learning for Prediction: Utilizing historical data and various influencing factors, machine learning models generate accurate predictions for GMX pool behavior.

  • Integration into Optimization: The predicted returns and covariances are integrated into the portfolio optimization framework, accounting for the unique risk-return profile of GMX pools.

  • Results and Significance: The findings demonstrate significant improvements in portfolio performance, with higher cumulative returns and superior Sharpe Ratios compared to benchmark portfolios.

This paper provides valuable insights into the effectiveness of machine learning-driven approaches for enhancing investment strategies in the dynamic cryptocurrency market.

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