Machine Learning vs. Economic Restrictions: Evidence from Stock Return Predictability
“In particular, excluding microcaps, distressed stocks, or episodes of high market volatility considerably attenuates profitability.”
AssetEquities
StrategyMachine learningportfolio optimization
TechniqueFeedforward network
ClaimProfit
Also stated: costs
Missing from abstract: benchmark, out-of-sample test, multiple testing, universe
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The paper's neighbourhoodMachine learning return prediction by year
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