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We examine machine learning and factor-based portfolio optimization. We find that factors based on autoencoder neural networks exhibit a weaker relationship with commonly used characteristic-sorted portfolios than popular dimensionality reduction tec
Externí odkaz:
http://arxiv.org/abs/2107.13866
Publikováno v:
In Journal of Commodity Markets March 2024 33
Publikováno v:
In Journal of International Financial Markets, Institutions & Money January 2024 90
Publikováno v:
In Journal of Empirical Finance December 2023 74
Publikováno v:
In Journal of Commodity Markets September 2023 31
Publikováno v:
In Journal of International Money and Finance May 2023 133
Publikováno v:
In Applied Acoustics May 2023 207
Autor:
Cotter, John, Salvador, Enrique
Publikováno v:
In Journal of Empirical Finance June 2022 67:100-132