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Machine Learning for Active Portfolio Management
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Machine Learning for Active Portfolio Management (2021)Machine Learning for Active Portfolio Man…Deep learning with long short-term memory networks for financial market predictions (2017)Deep learning with long short…Textual Analysis in Accounting and Finance: A Survey (2016)Textual Analysis in Accountin…… and the Cross-Section of Expected Returns (2015)… and the Cross-Section of Ex…Wisdom of Crowds: The Value of Stock Opinions Transmitted Through Social Media (2014)Wisdom of Crowds: The Value o…A five-factor asset pricing model (2014)A five-factor asset pricing m…When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10‐Ks (2011)When Is a Liability Not a Lia…The Information Content of Forward‐Looking Statements in Corporate Filings—A Naïve Bayesian Machine Learning Approach (2010)The Information Content of Fo…More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)More Than Words: Quantifying …Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Optimal Versus Naive Diversif…Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Is All That Talk Just Noise? …Forecasting stock market movement direction with support vector machine (2004)Forecasting stock market move…Financial time series forecasting using support vector machines (2003)Financial time series forecas…Optimal execution of portfolio transactions (2001)Optimal execution of portfoli…Optimal control of execution costs (1998)Optimal control of execution …Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Global Portfolio Optimization (1992)Global Portfolio OptimizationCAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)Disappearing dividends: changing firm characteristics or lower propensity to pay? (2001)In Search of Attention (2011)Text as Data: The Promise and Pitfalls of Automatic Content Analysis Methods for Political Texts (2013)PORTFOLIO SELECTION* (1952)On Persistence in Mutual Fund Performance (1997)Robust performance hypothesis testing with the Sharpe ratio (2008)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Comparison of ARIMA and LSTM in Forecasting Time Series (2018)The Performance of LSTM and BiLSTM in Forecasting Time Series (2019)Generación de series de tiempo financieras sintéticas para "data augmentation" usando redes neuronales generativas adversarias (GAN) (2021)Thirteen Ways to Look at the Correlation Coefficient (1988)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Uniting the Tribes: Using Text for Marketing Insight (2019)Climate Change News Risk and Corporate Bond Returns (2020)Deep learning for financial applications : A survey (2020)Expected stock returns and volatility (1987)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)The Econometrics of Financial Markets (2012)Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)Media Coverage and the Cross‐section of Stock Returns (2009)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)Choosing factors (2018)Replicating Anomalies (2018)Empirical Asset Pricing via Machine Learning (2020)Editor's Choice Digesting Anomalies: An Investment ApproachDo Shareholders Benefit from Green Bonds? (2018)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 2014A five-factor asset pricing model7,841 cited
  • 2011When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10‐Ks6,003 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 2017Deep learning with long short-term memory networks for financial market predictions2,827 cited
  • 2004Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards2,369 cited
  • 2008More Than Words: Quantifying Language to Measure Firms' Fundamentals2,310 cited
  • 2016Textual Analysis in Accounting and Finance: A Survey2,279 cited
  • 2015… and the Cross-Section of Expected Returns2,112 cited
  • 1992Global Portfolio Optimization1,846 cited
  • 2003Financial time series forecasting using support vector machines1,734 cited
  • 2001Optimal execution of portfolio transactions1,598 cited
  • 2010The Information Content of Forward‐Looking Statements in Corporate Filings—A Naïve Bayesian Machine Learning Approach1,374 cited
  • 2014Wisdom of Crowds: The Value of Stock Opinions Transmitted Through Social Media1,249 cited
  • 2004Forecasting stock market movement direction with support vector machine

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  • 1998Optimal control of execution costs1,056 cited
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