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Using neural networks to forecast the systematic risk of stocks
5 references·8 citing·37 second hop
Using neural networks to forecast the systematic risk of stocks (1996)Using neural networks to forecast the sys…Finanzwirtschaft der Unternehmung (2012)Finanzwirtschaft der Unterneh…THE ADJUSTMENT OF BETA FORECASTS (1975)THE ADJUSTMENT OF BETA FORECA…BETAS AND THEIR REGRESSION TENDENCIES (1975)BETAS AND THEIR REGRESSION TE…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…A Simplified Model for Portfolio Analysis (1963)A Simplified Model for Portfo…The role of AI in capital structure to enhance corporate funding strategies (2020)The role of AI in capital str…Evaluating the Performance of Machine Learning Algorithms in Financial Market Forecasting: A Comprehensive Survey (2019)Evaluating the Performance of…Using least square support vector regression with genetic algorithm to forecast beta systematic risk (2015)Using least square support ve…Forecasting trends of high-frequency KOSPI200 index data using learning classifiers (2012)Forecasting trends of high-fr…Business Forecasting with Artificial Neural Networks (2011)Business Forecasting with Art…Performance evaluation of neural network architectures: the case of predicting foreign exchange correlations (2005)Performance evaluation of neu…Neural network model for database marketing in the new global economy (2002)Neural network model for data…Using genetic algorithms to assess the impact of pricing activity timing (1999)Using genetic algorithms to a…On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills (1981)The journal of financial economics (1993)Is the correlation in international equity returns constant: 1960–1990? (1995)Regularized dynamic self-organized neural network inspired by the immune algorithm for financial time series prediction (2015)ON THE ASSESSMENT OF RISK (1971)A NOTE ON USING CROSS‐SECTIONAL INFORMATION IN BAYESIAN ESTIMATION OF SECURITY BETAS (1973)“ARE BETAS BEST?”† (1978)On the Estimation and Stability of Beta (1980)Estimation of expected return: CAPM vs. Fama and French (2004)Evaluation of Economic Forecasts (2016)The capital asset pricing model: Some empirical tests (1972)Risk, Return, and Equilibrium: Empirical Tests (1973)Studies in the Theory of Capital Markets. (1973)Co-Skewness and Capital Asset Pricing (1980)An Empirical Investigation of the Possibility of Stochastic Systematic Risk in the Market Model (1984)Optimization Methods in Finance (2006)Portfolio Selection: Efficient Diversification of Investments (1959)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Adjustment of Stock Prices to New Information (2003)Application of support vector machines in financial time series forecasting (2001)Financial time series forecasting using support vector machines (2003)Primary, Secondary, and Meta-Analysis of Research (1976)Deep learning with long short-term memory networks for financial market predictions (2017)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Common risk factors in the returns on stocks and bonds (1993)A Genetic Algorithm (GA) Approach to the Portfolio Design Based on Market Movements and Asset Valuations (2020)Enhancing corporate governance through AI: a systematic literature review (2024)Time Series Analysis: Forecasting and Control (1977)The accuracy of extrapolation (time series) methods: Results of a forecasting competition (1982)Forecasting with artificial neural networks: (1998)Sales Forecasting Using Deep Neural Network And SHAP techniques (2021)Implications of constant risk aversion (1981)Approaches to the Ex-ante Evaluation of Investments into Information Systems (2004)Value Orientation in Process Management (2011)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)
this work references cited by second hop

References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1963A Simplified Model for Portfolio Analysis2,740 cited
  • 1975BETAS AND THEIR REGRESSION TENDENCIES548 cited
  • 2012Finanzwirtschaft der Unternehmung346 cited
  • 1975THE ADJUSTMENT OF BETA FORECASTS144 cited

Cited by

  • 2005Performance evaluation of neural network architectures: the case of predicting foreign exchange correlations45 cited
  • 2011Business Forecasting with Artificial Neural Networks36 cited
  • 2020The role of AI in capital structure to enhance corporate funding strategies34 cited
  • 2012Forecasting trends of high-frequency KOSPI200 index data using learning classifiers32 cited
  • 2019Evaluating the Performance of Machine Learning Algorithms in Financial Market Forecasting: A Comprehensive Survey29 cited
  • 2015Using least square support vector regression with genetic algorithm to forecast beta systematic risk28 cited
  • 2002Neural network model for database marketing in the new global economy19 cited
  • 1999Using genetic algorithms to assess the impact of pricing activity timing15 cited

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