Journal article
Building cross-sectional systematic strategies by learning to rank
- Abstract:
-
The success of a cross-sectional systematic strategy depends critically on accurately ranking assets before portfolio construction. Contemporary techniques perform this ranking step either with simple heuristics or by sorting outputs from standard regression or classification models, which have been demonstrated to be suboptimal for ranking in other domains (e.g., information retrieval). To address this deficiency, the authors propose a framework to enhance cross-sectional portfolios by incor...
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- Publication status:
- Published
- Peer review status:
- Peer reviewed
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Authors
Bibliographic Details
- Publisher:
- Portfolio Management Research Publisher's website
- Journal:
- Journal of Financial Data Science Journal website
- Volume:
- 3
- Issue:
- 2
- Pages:
- 70-86
- Publication date:
- 2021-03-26
- DOI:
- EISSN:
-
2640-3951
- ISSN:
-
2640-3943
Item Description
- Language:
- English
- Keywords:
- Pubs id:
-
1251190
- Local pid:
- pubs:1251190
- Deposit date:
- 2023-01-20
Terms of use
- Copyright holder:
- Pageant Media Ltd
- Copyright date:
- 2021
- Rights statement:
- © 2021 Pageant Media Ltd
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