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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....

Ausführliche Beschreibung

Gespeichert in:
Hauptverfasser: Esra Sarıoğlu Duran, Turhan Korkmaz, Irem Ersöz Kaya
Format: Artigo
Sprache:Inglês
Veröffentlicht: MDPI AG 2025-12-01
Schriftenreihe:Applied Sciences
Schlagworte:
multifactor asset pricing
Fama–French factor models
machine learning
out-of-sample prediction
return forecasting
U.S. industry portfolios
Online-Zugang:https://www.mdpi.com/2076-3417/15/24/12866
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