A one-sided anomaly perspective in portfolio construction, by machine learning risk premia estimation.

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Keywords	Asset pricing anomaly; machine learning; risk premia estimation; portfolio management; one-sided anomaly investing; elastic net autoregressive linear regression; Kth nearest neighbors regression; random forest; gradient-boosted tree; feedforward neural network; and long short-term memory network; multi-frequency forecasting method.
Thesis Advisor	Dijk, D.J.C. van
Persistent URL	hdl.handle.net/2105/62113
Series	Econometrie
Organisation	Erasmus School of Economics
Citation APA Style AAA Style APA Style Cell Style Chicago Style Harvard Style IEEE Style MLA Style Nature Style Vancouver Style American-Institute-of-Physics Style Council-of-Science-Editors Style BibTex Format Endnote Format RIS Format CSL Format DOIs only Format	Debelle, A.H.C. (2022, June 14). A one-sided anomaly perspective in portfolio construction, by machine learning risk premia estimation.. Econometrie. Retrieved from http://hdl.handle.net/2105/62113

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