The low-volatility anomaly and the adaptive multi-factor model
Robert A. Jarrow, Rinald Murataj, Martin T. Wells, Liao Zhu
| Year of publication: |
2023
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|---|---|
| Authors: | Jarrow, Robert A. ; Murataj, Rinald ; Wells, Martin T. ; Zhu, Liao |
| Published in: |
International journal of theoretical and applied finance : IJTAF. - Singapore : World Scientific, ZDB-ID 2027376-9. - Vol. 26.2023, 4/5, Art.-No. 2350020, p. 1-33
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| Subject: | AMF model | False Discovery Rate | GIBS algorithm | high-dimensional statistics | Low-volatility anomaly | machine learning | Künstliche Intelligenz | Artificial intelligence | Algorithmus | Algorithm | Theorie | Theory | Statistischer Test | Statistical test | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024923500206 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014497298