Zobrazeno 1 - 10 of 11 pro vyhledávání: '"SVETLANA BRYZGALOVA"'
1
Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models
Autor: SVETLANA BRYZGALOVA, JIANTAO HUANG, CHRISTIAN JULLIARD
We propose a novel framework for analyzing linear asset pricing models: simple, robust, and applicable to high-dimensional problems. For a (potentially misspecified) stand-alone model, it provides reliable price of risk estimates for both tradable an
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::04317edb414bfccf189cf3898b60b58b
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9
Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models
Autor: Christian Julliard, Jiantao Huang, Svetlana Bryzgalova
Publikováno v: SSRN Electronic Journal.
We propose a novel framework for analyzing linear asset pricing models: simple, robust, and applicable to high dimensional problems. For a (potentially misspecified) standalone model, it provides reliable risk premia estimates of both tradable and no
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::61f58594ec7cab95a9244d72d44e93cc
https://doi.org/10.2139/ssrn.3481736
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10
Forest Through the Trees: Building Cross-Sections of Stock Returns
Autor: Jason Zhu, Markus Pelger, Svetlana Bryzgalova
Publikováno v: SSRN Electronic Journal.
We build cross-sections of asset returns for a given set of characteristics, that is, managed portfolios that serve as test assets for asset pricing models and building blocks for new risk factors. We use decision trees to endogenously group similar
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::173d88961929d4a32a2d1a40aeddac5f
https://doi.org/10.2139/ssrn.3493458
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