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SSRNMacro-Finance & Rates

Deep Learning for Corporate Bonds

A U.S. corporate bonds market asset pricing model shows that maximizing the Sharpe ratio performs better for individual bonds, with significant excess returns shown in out-of-sample annual SDF portfolio Sharpe ratios.

Featured in No. 10 on 2 Aug 2023 · 2 days after release · 1 citation today

Released
31 Jul 2023
First featured
No. 10 · 2 Aug 2023
Citations (Semantic Scholar)
1
Influential citations
0
Published in
Not yet, as far as Semantic Scholar knows
Shares when featured
7
Identifier
SSRN 4527372

Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).

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