A machine learning based asset pricing factor model comparison on anomaly portfolios
Year of publication: |
2021
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Authors: | Fang, Ming ; Taylor, Stephen |
Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 204.2021, p. 1-7
|
Subject: | Machine learning | Anomaly portfolios | Asset pricing | Factor models | Portfolio-Management | Portfolio selection | CAPM | Faktorenanalyse | Factor analysis | Künstliche Intelligenz | Artificial intelligence | Kapitalmarkttheorie | Financial economics |
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