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DP17091 High Dimensional Factor Models with an Application to Mutual Fund Characteristics 智库出版物
2022
作者:  Martin Lettau
收藏  |  浏览/下载:4/0  |  提交时间:2022/09/22
Tucker decomposition  Cp decomposition  Tensors  Pca  Svd  Factor models  Mutual funds  Characteristics  
DP14266 Taming the Factor Zoo: A Test of New Factors 智库出版物
2020
作者:  Stefano Giglio;  Guanhao Feng;  Dacheng Xiu
收藏  |  浏览/下载:3/0  |  提交时间:2022/09/22
Factors  Stochastic discount factor  Post-selection inference  Regularized two-pass estimation  Variable selection  Machine learning  Lasso  Elastic net  Pca  
DP13049 Factors that Fit the Time Series and Cross-Section of Stock Returns 智库出版物
2018
作者:  Martin Lettau
收藏  |  浏览/下载:1/0  |  提交时间:2022/09/22
Cross section of returns  Anomalies  Expected returns  High-dimensional data  Latent factors  Weak factors  Pca  
DP12926 Estimating Latent Asset-Pricing Factors 智库出版物
2018
作者:  Martin Lettau
收藏  |  浏览/下载:6/0  |  提交时间:2022/09/22
Cross section of returns  Anomalies  Expected returns  High-dimensional data  Latent factors  Weak factors  Pca