Six-factor asset pricing and portfolio investment via deep learning : evidence from Chinese stock market
Haixiang Yao, Shenghao Xia, Hao Liu
| Year of publication: |
2022
|
|---|---|
| Authors: | Yao, Haixiang ; Xia, Shenghao ; Liu, Hao |
| Published in: |
Pacific-Basin finance journal. - Amsterdam [u.a.] : Elsevier, ISSN 0927-538X, ZDB-ID 1343420-2. - Vol. 76.2022, p. 1-28
|
| Subject: | Deep learning | Empirical asset pricing | Long short-term memory (LSTM) | Quantitative investment | Six-factor model | China | Portfolio-Management | Portfolio selection | CAPM | Aktienmarkt | Stock market | Kapitalmarkttheorie | Financial economics | Lernprozess | Learning process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.pacfin.2022.101886 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013552823