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This survey is organized as follows. Section 2 analyzes the theoretical benefits of highly parameterized machine learning models in financial economics. Section 3 surveys the variety of machine learning methods employed in the empirical analysis of asset return predictability. Section 4 focuses on machine learning analyses of factor pricing models and the resulting empirical conclusions for risk-return tradeoffs. Section 5 presents the role of machine learning in identifying optimal portfolios and stochastic discount factors. Section 6 offers brief conclusions and directions for future work.
This survey is organized as follows. Section 2 analyzes the theoretical benefits of highly parameterized machine learning models in financial economics. Section 3 surveys the variety of machine learning methods employed in the empirical analysis of asset return predictability. Section 4 focuses on machine learning analyses of factor pricing models and the resulting empirical conclusions for risk-return tradeoffs. Section 5 presents the role of machine learning in identifying optimal portfolios and stochastic discount factors. Section 6 offers brief conclusions and directions for future work.
| Erscheinungsjahr: | 2023 |
|---|---|
| Fachbereich: | Allgemeines |
| Genre: | Wirtschaft |
| Rubrik: | Recht & Wirtschaft |
| Medium: | Taschenbuch |
| Seiten: | 172 |
| ISBN-13: | 9781638282907 |
| ISBN-10: | 1638282900 |
| Sprache: | Englisch |
| Ausstattung / Beilage: | Paperback |
| Einband: | Kartoniert / Broschiert |
| Autor: |
Kelly, Bryan
Xiu, Dacheng |
| Hersteller: | Now Publishers Inc |
| Maße: | 234 x 156 x 10 mm |
| Von/Mit: | Bryan Kelly (u. a.) |
| Erscheinungsdatum: | 08.11.2023 |
| Gewicht: | 0,272 kg |
| Erscheinungsjahr: | 2023 |
|---|---|
| Fachbereich: | Allgemeines |
| Genre: | Wirtschaft |
| Rubrik: | Recht & Wirtschaft |
| Medium: | Taschenbuch |
| Seiten: | 172 |
| ISBN-13: | 9781638282907 |
| ISBN-10: | 1638282900 |
| Sprache: | Englisch |
| Ausstattung / Beilage: | Paperback |
| Einband: | Kartoniert / Broschiert |
| Autor: |
Kelly, Bryan
Xiu, Dacheng |
| Hersteller: | Now Publishers Inc |
| Maße: | 234 x 156 x 10 mm |
| Von/Mit: | Bryan Kelly (u. a.) |
| Erscheinungsdatum: | 08.11.2023 |
| Gewicht: | 0,272 kg |
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