ファンダメンタルファクターモデル（リターンモデル）における機械学習手法の応用可能性検証
書誌事項
- タイトル別名
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- Fundamental Factor Models using Machine Learning
抄録
<p>Fundamental factor models are one of the important methods for the quantitative active investors (Quants), so many investors and researchers use fundamental factor models in their work. But often we come up against the problem that highly effective factors do not aid in our portfolio performance. We think one of the reasons why is that the traditional method is based on multiple linear regression. Therefore in this paper, we tried to apply our machine learning methods to fundamental factor models as the return model. The results show that applying machine learning methods yield good portfolio performance and effectiveness more than the traditional methods.</p>
収録刊行物
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- 人工知能学会第二種研究会資料
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人工知能学会第二種研究会資料 2017 (FIN-019), 95-, 2017-10-14
一般社団法人 人工知能学会
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詳細情報 詳細情報について
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- CRID
- 1390575960081338368
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- ISSN
- 24365556
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- 本文言語コード
- ja
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- データソース種別
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- JaLC
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- 抄録ライセンスフラグ
- 使用可