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Choices Matter When Training Machine Learning Models for Return Prediction 训练用于回报预测的机器学习模型时，选择很重要
IF 2.8 3区 经济学
Financial Analysts Journal Pub Date : 2024-08-29 DOI: 10.1080/0015198x.2024.2388024
Clint Howard
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引用次数: 0
The Importance of Joining Lifecycle Models with Mean-Variance Optimization 将生命周期模型与均方差优化相结合的重要性
IF 2.8 3区 经济学
Financial Analysts Journal Pub Date : 2024-08-27 DOI: 10.1080/0015198x.2024.2382672
Paul D. Kaplan, Thomas M. Idzorek
{"title":"The Importance of Joining Lifecycle Models with Mean-Variance Optimization","authors":"Paul D. Kaplan, Thomas M. Idzorek","doi":"10.1080/0015198x.2024.2382672","DOIUrl":"https://doi.org/10.1080/0015198x.2024.2382672","url":null,"abstract":"For nearly three-quarters of a century, there has been a large separation between lifecycle finance models stemming from numerous Nobel laureates and the single-period mean-variance optimization-or...","PeriodicalId":48062,"journal":{"name":"Financial Analysts Journal","volume":"32 1","pages":""},"PeriodicalIF":2.8,"publicationDate":"2024-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142185635","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Transaction Costs and Capacity of Systematic Corporate Bond Strategies 系统性公司债券策略的交易成本和能力
IF 2.8 3区 经济学
Financial Analysts Journal Pub Date : 2024-07-17 DOI: 10.1080/0015198x.2024.2360390
Alexey Ivashchenko, Robert Kosowski
{"title":"Transaction Costs and Capacity of Systematic Corporate Bond Strategies","authors":"Alexey Ivashchenko, Robert Kosowski","doi":"10.1080/0015198x.2024.2360390","DOIUrl":"https://doi.org/10.1080/0015198x.2024.2360390","url":null,"abstract":"Can systematic corporate bond investments generate attractive returns net of costs? To answer this question, we apply the principle of market microstructure invariance and obtain bond transaction c...","PeriodicalId":48062,"journal":{"name":"Financial Analysts Journal","volume":"12 1","pages":""},"PeriodicalIF":2.8,"publicationDate":"2024-07-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141737516","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Predicting Corporate Bond Illiquidity via Machine Learning 通过机器学习预测公司债券的流动性
IF 2.8 3区 经济学
Financial Analysts Journal Pub Date : 2024-06-24 DOI: 10.1080/0015198x.2024.2350952
Axel Cabrol, Wolfgang Drobetz, Tizian Otto, Tatjana Puhan
{"title":"Predicting Corporate Bond Illiquidity via Machine Learning","authors":"Axel Cabrol, Wolfgang Drobetz, Tizian Otto, Tatjana Puhan","doi":"10.1080/0015198x.2024.2350952","DOIUrl":"https://doi.org/10.1080/0015198x.2024.2350952","url":null,"abstract":"This paper tests the predictive performance of machine learning methods in estimating the illiquidity of US corporate bonds. Machine learning techniques outperform the historical illiquidity-based ...","PeriodicalId":48062,"journal":{"name":"Financial Analysts Journal","volume":"49 1","pages":""},"PeriodicalIF":2.8,"publicationDate":"2024-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141502791","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Nonlinear Factor Returns in the US Equity Market 美国股市的非线性因素回报率
IF 2.8 3区 经济学
Financial Analysts Journal Pub Date : 2024-06-12 DOI: 10.1080/0015198x.2024.2351020
Roger Clarke, Harindra de Silva, Steven Thorley
{"title":"Nonlinear Factor Returns in the US Equity Market","authors":"Roger Clarke, Harindra de Silva, Steven Thorley","doi":"10.1080/0015198x.2024.2351020","DOIUrl":"https://doi.org/10.1080/0015198x.2024.2351020","url":null,"abstract":"We examine nonlinear return-to-characteristic relationships for five equity market factors: value, momentum, small size, low beta, and profitability. Our study employs monthly returns and character...","PeriodicalId":48062,"journal":{"name":"Financial Analysts Journal","volume":"72 1","pages":""},"PeriodicalIF":2.8,"publicationDate":"2024-06-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141502792","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Factor-Mimicking Portfolios for Climate Risk 气候风险因子模拟投资组合
IF 2.8 3区 经济学
Financial Analysts Journal Pub Date : 2024-05-10 DOI: 10.1080/0015198x.2024.2332164
Gianluca De Nard, Robert F. Engle, Bryan Kelly
{"title":"Factor-Mimicking Portfolios for Climate Risk","authors":"Gianluca De Nard, Robert F. Engle, Bryan Kelly","doi":"10.1080/0015198x.2024.2332164","DOIUrl":"https://doi.org/10.1080/0015198x.2024.2332164","url":null,"abstract":"We propose and implement a procedure to optimally hedge climate change risk. First, we construct climate risk indices through textual analysis of newspapers. Second, we present a new approach to co...","PeriodicalId":48062,"journal":{"name":"Financial Analysts Journal","volume":"8 1","pages":""},"PeriodicalIF":2.8,"publicationDate":"2024-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140927101","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
3D Investing: Jointly Optimizing Return, Risk, and Sustainability 3D 投资：共同优化回报、风险和可持续性
IF 2.8 3区 经济学
Financial Analysts Journal Pub Date : 2024-04-29 DOI: 10.1080/0015198x.2024.2335142
David Blitz, Mike Chen, Clint Howard, Harald Lohre
{"title":"3D Investing: Jointly Optimizing Return, Risk, and Sustainability","authors":"David Blitz, Mike Chen, Clint Howard, Harald Lohre","doi":"10.1080/0015198x.2024.2335142","DOIUrl":"https://doi.org/10.1080/0015198x.2024.2335142","url":null,"abstract":"Traditional mean-variance portfolio optimization is based on the premise that investors only care about risk and return. However, some investors also have non-financial objectives such as sustainab...","PeriodicalId":48062,"journal":{"name":"Financial Analysts Journal","volume":"39 1","pages":""},"PeriodicalIF":2.8,"publicationDate":"2024-04-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140832033","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
2023 Report to Readers 2023 年读者报告
IF 2.8 3区 经济学
Financial Analysts Journal Pub Date : 2024-03-25 DOI: 10.1080/0015198x.2024.2326395
Luis García-Feijóo
{"title":"2023 Report to Readers","authors":"Luis García-Feijóo","doi":"10.1080/0015198x.2024.2326395","DOIUrl":"https://doi.org/10.1080/0015198x.2024.2326395","url":null,"abstract":"Published in Financial Analysts Journal (Ahead of Print, 2024)","PeriodicalId":48062,"journal":{"name":"Financial Analysts Journal","volume":"52 1","pages":""},"PeriodicalIF":2.8,"publicationDate":"2024-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140298834","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Fundamental Analysis via Machine Learning 通过机器学习进行基本面分析
IF 2.8 3区 经济学
Financial Analysts Journal Pub Date : 2024-03-21 DOI: 10.1080/0015198x.2024.2313692
Kai Cao, Haifeng You
{"title":"Fundamental Analysis via Machine Learning","authors":"Kai Cao, Haifeng You","doi":"10.1080/0015198x.2024.2313692","DOIUrl":"https://doi.org/10.1080/0015198x.2024.2313692","url":null,"abstract":"We examine the efficacy of machine learning in a central task of fundamental analysis: forecasting corporate earnings. We find that machine learning models not only generate significantly more accu...","PeriodicalId":48062,"journal":{"name":"Financial Analysts Journal","volume":"293 1","pages":""},"PeriodicalIF":2.8,"publicationDate":"2024-03-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140203671","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Empirical Evidence on the Stock–Bond Correlation 股票与债券相关性的经验证据
IF 2.8 3区 经济学
Financial Analysts Journal Pub Date : 2024-03-21 DOI: 10.1080/0015198x.2024.2317333
Roderick Molenaar, Edouard Sénéchal, Laurens Swinkels, Zhenping Wang
{"title":"Empirical Evidence on the Stock–Bond Correlation","authors":"Roderick Molenaar, Edouard Sénéchal, Laurens Swinkels, Zhenping Wang","doi":"10.1080/0015198x.2024.2317333","DOIUrl":"https://doi.org/10.1080/0015198x.2024.2317333","url":null,"abstract":"The correlation between stock and bond returns is a cornerstone of asset allocation decisions. History reveals abrupt regime shifts in correlation after long periods of relative stability. We inves...","PeriodicalId":48062,"journal":{"name":"Financial Analysts Journal","volume":"365 1","pages":""},"PeriodicalIF":2.8,"publicationDate":"2024-03-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140203603","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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