Factor correlation and the cross section of asset returns : a correlation-robust machine learning approach
Year of publication: |
2024
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Authors: | Sun, Chuanping |
Published in: |
Journal of empirical finance. - [Erscheinungsort nicht ermittelbar] : Elsevier Science, ISSN 0927-5398, ZDB-ID 1496810-1. - Vol. 77.2024, Art.-No. 101497, p. 1-16
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Subject: | Factor investing | Factor zoo | Firm characteristics | LASSO | Stochastic discount factor | CAPM | Kapitaleinkommen | Capital income | Diskontierung | Discounting | Theorie | Theory | Faktorenanalyse | Factor analysis |
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