A machine learning based asset pricing factor model comparison on anomaly portfolios

Business & Economics

• Machine Learning 100%
• Model Comparison 96%
• Asset Pricing 80%
• Anomaly 75%
• Support Vector Machine 64%
• Learning Context 56%
• Portfolio Model 46%
• Neural Networks 45%
• Performance Metrics 43%
• Predictors 40%
• Excess Returns 40%
• Linear Regression 39%
• Ordinary Least Squares 36%
• Regression Model 31%
• Alternatives 17%
• Performance 14%