Building cross-sectional systematic strategies by learning to rank
The success of a cross-sectional systematic strategy depends critically on accurately ranking assets before portfolio construction. Contemporary techniques perform this ranking step either with simple heuristics or by sorting outputs from standard regression or classification models, which have been...
| Main Authors: | , , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Portfolio Management Research
2021
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