因子分析
因子(编程语言)
投资组合优化
文件夹
差异(会计)
黑色-垃圾模型
样品(材料)
经济
计量经济学
计算机科学
复制投资组合
金融经济学
色谱法
会计
化学
程序设计语言
作者
Jun Kyung Auh,Wonho Cho
标识
DOI:10.1016/j.econlet.2023.111137
摘要
A parsimonious factor model mitigates idiosyncratic noise in historical data for portfolio optimization. We use market predictors and machine learning to incorporate forward-looking information into expected returns. The combination of the factor model and forward-looking returns improves out-of-sample performance, conforming to the theoretical assumption that the mean and variance correspond to future returns.
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