AlphaGlass: Interpretable Characteristic-Based Portfolio Choice
收藏NBER2026-05-01 更新2026-05-16 收录
下载链接：
https://www.nber.org/papers/w35186
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资源简介：
We propose AlphaGlass, an inherently interpretable machine-learning framework for constructing portfolios that directly optimize investment objectives. AlphaGlass maps stock characteristics into additive signals with sparse interactions and converts these signals into long-short portfolios through a
提供机构：
美国国家经济研究局
创建时间：
2026-05-01
