Complexity in Factor Pricing Models
收藏数据链接：
官方服务：
资源简介：
We theoretically characterize the behavior of machine learning asset pricing models. We prove that expected out-of-sample model performancein terms of SDF Sharpe ratio and test asset pricing errorsis improving in model parameterization (or complexity). Our empirical findings verify the theoretically
提供机构：
美国国家经济研究局创建时间：
2023-09-01
