Automated Machine Learning and Asset Pricing
(2024)
Journal Article
Healy, J. V., Gregoriou, A., & Hudson, R. (2024). Automated Machine Learning and Asset Pricing. Risks, 12(9), Article 148. https://doi.org/10.3390/risks12090148
We evaluate whether machine learning methods can better model excess portfolio returns compared to the standard regression-based strategies generally used in the finance and econometric literature. We examine 17 benchmark factor model specifications... Read More about Automated Machine Learning and Asset Pricing.