Machine Learning for Out-of-Sample Prediction of Industry Portfolio Returns Within Multi-Factor Asset Pricing Models

Accurately predicting asset returns remains a central challenge in finance, with significant implications for portfolio optimization and risk management. In response to the challenge, this study evaluates the predictive performance of machine learning algorithms in estimating excess returns of U.S....

Täydet tiedot

Bibliografiset tiedot

Päätekijät:	Esra Sarıoğlu Duran, Turhan Korkmaz, Irem Ersöz Kaya
Aineistotyyppi:	Artigo
Kieli:	Inglês
Julkaistu:	MDPI AG 2025-12-01
Sarja:	Applied Sciences
Aiheet:	multifactor asset pricing Fama–French factor models machine learning out-of-sample prediction return forecasting U.S. industry portfolios
Linkit:	https://www.mdpi.com/2076-3417/15/24/12866
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