Healy, Jerome V.; Gregoriou, Andros; Hudson, Robert - In: Risks : open access journal 12 (2024) 9, pp. 1-12
We evaluate whether machine learning methods can better model excess portfolio returns compared to the standard … specifications based on Expected Utility Theory and theory drawn from behavioural finance. We assess whether machine learning can … findings suggest that machine learning methods provide more accurate models of stock returns based on risk factors than …