Showing 1 - 4 of 4
We theoretically characterize the behavior of machine learning asset pricing models. We prove that expected out-of-sample model performance---in terms of SDF Sharpe ratio and test asset pricing errors---is improving in model parameterization (or "complexity''). Our empirical findings verify the...
Persistent link: https://www.econbiz.de/10014472608
Persistent link: https://www.econbiz.de/10012300973
Persistent link: https://www.econbiz.de/10013177471
Persistent link: https://www.econbiz.de/10012161614