A cross-sectional machine learning approach for hedge fund return prediction and selection
Wenbo Wu, Jiaqi Chen, Zhibin (Ben) Yang, Michael L. Tindall
| Year of publication: |
2021
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| Authors: | Wu, Wenbo ; Chen, Jiaqi ; Yang, Zhibin ; Tindall, Michael L. |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 67.2021, 7, p. 4577-4601
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| Subject: | hedge fund | portfolio | return prediction | forecast | cross-sectional | machine learning | lasso | random forest | gradient boosting | deep neural network | Künstliche Intelligenz | Artificial intelligence | Hedgefonds | Hedge fund | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Neuronale Netze | Neural networks | Portfolio-Management | Portfolio selection | Kapitalmarktrendite | Capital market returns |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/mnsc.2020.3696 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012624639