A Cross-Sectional Machine Learning Approach for Hedge Fund Return Prediction and Selection
“Evaluating the out-of-sample performance, we find that our forecast method significantly outperforms the four styled Hedge Fund Research indices in almost all situations.”
StrategyMachine learning
TechniqueFeedforward network
ClaimExcess return
Also stated: out-of-sample test
Missing from abstract: benchmark, costs, multiple testing, universe
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