Asset pricing via machine learning

Antonazzo, Matteo (A.A. 2021/2022) Asset pricing via machine learning. Tesi di Laurea in Finance and financial technologies, Luiss Guido Carli, relatore Michela Altieri, pp. 32. [Bachelor's Degree Thesis]

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Literature review. Methodology. Sample splitting and tuning. Capital asset pricing model. Simple linear model. Penalized approach. Principal component regression. Decision trees and random forest. Performance evaluation. Variables importance. Empirical analysis. Data description. Cross section of individual stock. Variable importance.


Bibliografia: pp. 27-28.

Thesis Type: Bachelor's Degree Thesis
Institution: Luiss Guido Carli
Degree Program: Bachelor's Degree Programs > Bachelor's Degree Program in Management and Computer Science, English language (L-18)
Chair: Finance and financial technologies
Thesis Supervisor: Altieri, Michela
Academic Year: 2021/2022
Session: Summer
Deposited by: Alessandro Perfetti
Date Deposited: 26 Oct 2022 10:46
Last Modified: 26 Oct 2022 10:46


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