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Persistent link: https://www.econbiz.de/10014520910
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
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