The Anatomy of Machine Learning-Based Portfolio Performance
The SPPC methodology can determine individual predictors' contributions to portfolio performance, shedding light on the sources of economic value from return predictability.
Featured in No. 26 on 15 Nov 2023 · 6 days after release · 0 citations today
- Released
- 9 Nov 2023
- First featured
- No. 26 · 15 Nov 2023
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- SSRN 4628462
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