Diverging Roads: Theory-Based vs. Machine Learning-Implied Stock Risk Premia.

We compare the performance of theory-based and machine learning (ML) methods for quantifying equity risk premia and assess hybrid strategies that combine the two very different philosophies. The theory-based approach offers advantages at a one-month investment horizon, in particular, if daily freque...

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Detalles Bibliográficos

Publicado en:	Journal of Financial Econometrics Vol. 23; no. 2; pp. 1 - 56
Autores principales:	Grammig, Joachim, Hanenberg, Constantin, Schlag, Christian, Sönksen, Jantje
Formato:	Artículo
Publicado:	Oxford University Press / USA 2025
Materias:	Risk premiums Machine learning Random forest algorithms Stock options Approximation error
Acceso en línea:	Ver este registro en EBSCOhost