通过所谓的“characteristics dense”框架,这些新因子借助机器学习和创新的“因子中的因子”方法(factor-of-factors methodology),从更广泛和复杂的特征中为资产定价。作者的研究结果表明,“sectional factors”在夏普比率、阿尔法生成以及有效前沿扩展方面都优于传统模型。三大创新助力其成果的实现:第一,使用“密集型”模型...
The characteristics of portfolios selected by n-degree lower par- tial moment," Int. Rev. Financial Anal., vol. 1, pp. 195-209, 1992.Nawrocki,David N.The Characteristics of Portfolio Selected by n-Degree Lower Partial Moment[].International Review of Financial Analysis.1992...
1.(Mathematics)mathsa function that assigns the value 1 to the members of a given set and the value 0 to its nonmembers 2.(Statistics)statisticsa function derived from the probability distribution function that enables the distribution of the sum of given random variables to be analysed ...
🌟Chapter 15, Machine Learning and Prediction: 将原先Evaluate the predictive performance of logistic regression models and neural network models using a confusion matrix拆成两部分,分别为Evaluate the predictive performance of logistic regression models和Compare the logistic regression and neural network clas...
Factor betaInvestor sentimentMispricingRiskUsing portfolios that are formed by directly sorting stocks based on their exposure to characteristics-based factors, earlier studies find that these beta-sortedoi:10.2139/ssrn.3536063Chen, ZhuoLiu, Bibo
However, using portfolios formed on the basis of size and book-to-market characteristics, they find that the loadings of portfolio returns on the book-to-market factor are close to zero and do not exhibit reliable cross-sectional variation related to portfolio book-to-market results. Lakoni...
This liquidation period depends on the economic characteristics of the contract, how widely it is traded in the marketplace, the identity, number and capitalization of the firms that trade it, and market conditions at the time of liquidation. All of these conditions should be pretty much the sa...
Empirical results illustrate the practical value of large-scale numerical optimizations using return-based covariance matrix estimation methodologies, providing new perspective on the factor characteristics of low-volatility portfolios. Optimizations that go back to 1968 reveal that the long-only minimum-...
In addition, other, more structural characteristics, may greatly affect a farmer’s exposure to risks, such as soil type, slope, proximity to certain geographic features that mitigate or exacerbate the effects of weather, among many others. This paper pursues three main objectives: (i) to posit...
The year 2023 marks the mid-point of the 15-year period envisaged to achieve the Sustainable Development Goals, targets for global development adopted in September 2015 by all United Nations Member States. To help track where we are on this journey, and to amplify success stories, in this ...