Deep Learning, Predictability, and Optimal Portfolio Returns
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- Mykola Babiak & Jozef Barunik, 2020. "Deep Learning, Predictability, and Optimal Portfolio Returns," Papers 2009.03394, arXiv.org, revised Jul 2021.
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Cited by:
- Lin, Weidong & Taamouti, Abderrahim, 2024.
"Portfolio selection under non-gaussianity and systemic risk: A machine learning based forecasting approach,"
International Journal of Forecasting, Elsevier, vol. 40(3), pages 1179-1188.
- Weidong Lin & Abderrahim Taamouti, 2023. "Portfolio Selection Under Non-Gaussianity And Systemic Risk: A Machine Learning Based Forecasting Approach," Working Papers 202310, University of Liverpool, Department of Economics.
- Jozef Barunik & Lubos Hanus, 2022. "Learning Probability Distributions in Macroeconomics and Finance," Papers 2204.06848, arXiv.org.
- Philippe Goulet Coulombe & Maximilian Goebel, 2023. "Maximally Machine-Learnable Portfolios," Papers 2306.05568, arXiv.org, revised Apr 2024.
- Philippe Goulet Coulombe & Maximilian Gobel, 2023. "Maximally Machine-Learnable Portfolios," Working Papers 23-01, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management, revised Apr 2023.
- Zhenning Hong & Ruyan Tian & Qing Yang & Weiliang Yao & Tingting Ye & Liangliang Zhang, 2021.
"Asset Allocation via Machine Learning,"
Accounting and Finance Research, Sciedu Press, vol. 10(4), pages 1-34, November.
- Qing Yang & Zhenning Hong & Ruyan Tian & Tingting Ye & Liangliang Zhang, 2020. "Asset Allocation via Machine Learning and Applications to Equity Portfolio Management," Papers 2011.00572, arXiv.org, revised Nov 2020.
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- Davide Pettenuzzo & Francesco Ravazzolo, 2016.
"Optimal Portfolio Choice Under Decision‐Based Model Combinations,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1312-1332, November.
- Davide Pettenuzzo & Francesco Ravazzolo, 2014. "Optimal Portfolio Choice under Decision-Based Model Combinations," Working Papers 80, Brandeis University, Department of Economics and International Business School.
- Davide Pettenuzzo & Francesco Ravazzolo, 2015. "Optimal Portfolio Choice under Decision-Based Model Combinations," Working Papers No 9/2015, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Davide Pettenuzzo & Francesco Ravazzolo, 2014. "Optimal portfolio choice under decision-based model combinations," Working Paper 2014/15, Norges Bank.
More about this item
Keywords
return predictability; portfolio allocation; machine learning; neural networks; empirical asset pricing;All these keywords.
JEL classification:
- C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BIG-2021-01-25 (Big Data)
- NEP-CMP-2021-01-25 (Computational Economics)
- NEP-FMK-2021-01-25 (Financial Markets)
- NEP-MAC-2021-01-25 (Macroeconomics)
- NEP-ORE-2021-01-25 (Operations Research)
Statistics
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