Fama-French three versus five, which model is better? : a machine learning approach
Boubacar Diallo, Aliyu Bagudu, Qi Zhang
| Year of publication: |
2023
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|---|---|
| Authors: | Diallo, Boubacar ; Bagudu, Aliyu ; Zhang, Qi |
| Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 42.2023, 6, p. 1461-1475
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| Subject: | asset pricing model | Bayesian optimization | factor model | machine learning | support vector regression | Künstliche Intelligenz | Artificial intelligence | CAPM | Prognoseverfahren | Forecasting model | Bayes-Statistik | Bayesian inference | Kapitalmarkttheorie | Financial economics | Regressionsanalyse | Regression analysis | Lernprozess | Learning process | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.2970 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014338932