Predicting Financial Asset Returns with Factor and Lead-Lag Relationships: Ridge Regression with Lagged Penalty.
Tatsuki MasudaKei NakagawaPublished in: IIAI-AAI (2023)
Keyphrases
- ridge regression
- sharpe ratio
- linear regression
- ordinary least squares
- regression methods
- pseudo inverse
- financial markets
- portfolio management
- ls svm
- support vector machine
- portfolio optimization
- least squares
- factor analysis
- data sets
- regression method
- expectation maximization
- similarity measure
- conformal prediction
- image sequences