Comparison of linear regression models Ordinary Lasso, Adaptive Group Lasso and Ordinary Least Squares models in selecting effective characteristics to predict the expected return

Comparison of linear regression models Ordinary Lasso, Adaptive Group Lasso and Ordinary Least Squares models in selecting effective characteristics to predict the expected return

In this study, for the selection of the characteristics of the company that provides the incremental information to investors and financial analysts, the linear models are adapted by the ordinary Lasso method (Tibshirani, 1996), Adaptive Group LASSO (Zu, 2006) and the least squares method (OLS). The...

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Bibliographic Details
Main Authors: Raheleh ossadat Mortazavi, Hamid Reza Vakilifard, Ghodratallah Talebnia, Seyedeh Mahboobeh Jafari
Format: Article
Language:English
Published: Iran Finance Association 1999-12-01
Series:Iranian Journal of Finance
Subjects:
lasso regression
adaptive group lasso regression
ordinary least squares regression
expected returns of portfolios
Online Access:https://www.ijfifsa.ir/article_96161_ca73d9b8aa2a89722c37093c2d01dfc5.pdf

Internet

https://www.ijfifsa.ir/article_96161_ca73d9b8aa2a89722c37093c2d01dfc5.pdf

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