High-dimensional estimation, basis assets, and the adaptive multi-factor model
Liao Zhu, Sumanta Basu, Robert A. Jarrow, Martin T. Wells
| Year of publication: |
2020
|
|---|---|
| Authors: | Zhu, Liao ; Basu, Sumanta ; Jarrow, Robert A. ; Wells, Martin T. |
| Published in: |
The quarterly journal of finance. - Singapore : World Scientific Publ., ISSN 2010-1392, ZDB-ID 2620599-3. - Vol. 10.2020, 4, p. 1-52
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| Subject: | AMF model | Asset pricing models | GIBS algorithm | high-dimensional statistics | machine learning | Künstliche Intelligenz | Artificial intelligence | CAPM | Schätztheorie | Estimation theory | Kapitalmarkttheorie | Financial economics | Algorithmus | Algorithm |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2010139220500172 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012627440