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Tagged with factor-investing modern-portfolio-theory
2 questions
3
votes
1
answer
181
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SML Interpretation
I follow this paper and estimated two different asset pricing models via systems of deep neural networks. Both models have the exact same input: firm-specific features for 10'000 (unique) US stocks ...
- 253
0
votes
1
answer
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Do Fama-French factor portfolios require optimization?
I am going to perform factor crowding analysis for my dissertation and I am struggling to build factor portfolios from the S&P 500 in r.
I built my dataset from the S&P 500 and I am able to ...
- 263