Machine Learning for Asset Management
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9781786305442, 9781119751182
Latest Documents Most Cited Documents Contributed Authors Related Sources Related Keywords

Modeling Transaction Costs When Trades May Be Crowded: A Bayesian Network Using Partially Observable Orders Imbalance

2020 ◽  
pp. 387-430
Author(s):  
Marie Brière ◽  
Charles‐Albert Lehalle ◽  
Tamara Nefedova ◽  
Amine Raboun
Keyword(s):  
Bayesian Network ◽  
Transaction Costs ◽  
Partially Observable

Forecasting Beta Using Machine Learning and Equity Sentiment Variables

2020 ◽  
pp. 231-260
Author(s):  
Alexei Jourovski ◽  
Vladyslav Dubikovskyy ◽  
Pere Adell ◽  
Ravi Ramakrishnan ◽  
Robert Kosowski
Keyword(s):  
Machine Learning

Hierarchical Risk Parity: Accounting for Tail Dependencies in Multi‐asset Multi‐factor Allocations

2020 ◽  
pp. 329-368 ◽  
Author(s):  
Harald Lohre ◽  
Carsten Rother ◽  
Kilian Axel Schäfer
Keyword(s):  
Risk Parity

scholarly journals List of Authors

2020 ◽  
pp. 431-433

Enhancing Alpha Signals from Trade Ideas Data Using Supervised Learning

2020 ◽  
pp. 167-189
Author(s):  
Georgios V. Papaioannou ◽  
Daniel Giamouridis
Keyword(s):  
Supervised Learning

Portfolio Performance Attribution: A Machine Learning‐Based Approach

2020 ◽  
pp. 369-386
Author(s):  
Ryan Brown ◽  
Harindra de Silva ◽  
Patrick D. Neal
Keyword(s):  
Machine Learning ◽  
Portfolio Performance ◽  
Performance Attribution

Sparse Predictive Regressions: Statistical Performance and Economic Significance

2020 ◽  
pp. 75-113 ◽  
Author(s):  
Daniele Bianchi ◽  
Andrea Tamoni
Keyword(s):  
Economic Significance ◽  
Predictive Regressions
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