Using Fundamental Analysis and an Ensemble of Classifier Models Along with a Risk-Off Filter to Select Outperforming Companies
(Bog, Hardback, Engelsk)
Beskrivelse
The risk adjusted performance of the final model, supported by the risk-off filter, achieves a Sharpe ratio of 1.63 which surpasses both the model’s performance without the filter that delivers Sharpe ratio of 1.41 and the one from the S&P500 index of 0.80.
Læsernes anmeldelser (0)
Alle detaljer
| Forlag | Springer International Publishing AG |
| Forfattere | Manuel Moura, Rui Neves |
| Type | Bog |
| Format | Hardback |
| Sprog | Engelsk |
| Udgave | 2025 ed. |
| Udgivelsesdato | 19-06-2024 |
| Første udgivelsesår | 2024 |
| Serie | Synthesis Lectures on Technology Management & Entrepreneurship |
| Illustrationer | 43 Illustrations, color; 1 Illustrations, black and white |
| Originalsprog | Switzerland |
| Sideantal | 71 |
| Indbinding | Hardback |
| Forlag | Springer International Publishing AG |
| Sideoplysninger | 71 pages, 43 Illustrations, color; 1 Illustrations, black and white |
| Mål | 240 x 168 |
| ISBN-13 / EAN-13 | 9783031620607 |