A machine learning based asset pricing factor model comparison on anomaly portfolios
Ming Fang, Stephen Taylor
| Year of publication: |
2021
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|---|---|
| Authors: | Fang, Ming ; Taylor, Stephen |
| Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 204.2021, p. 1-7
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| Subject: | Machine learning | Anomaly portfolios | Asset pricing | Factor models | Künstliche Intelligenz | Artificial intelligence | Portfolio-Management | Portfolio selection | CAPM | Faktorenanalyse | Factor analysis | Kapitalmarkttheorie | Financial economics | Prognoseverfahren | Forecasting model | Kapitalmarktrendite | Capital market returns |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econlet.2021.109919 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012607835