Freyberger, Joachim; Neuhierl, Andreas; Weber, Michael - 2018 - This version: July 2018
of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected … incremental information for expected returns, and nonlinearities are important. We study the properties of our method in an … returns nonparametrically. Our method can handle a large number of characteristics, allows for a flexible functional form, and …