Michael Chng

Xian Jiaotong Liverpool University

Professor of Finance

BB520, 111 Ren Ai Lu

Higher Education Zone, SIP

Suzhou, Jiangsu 215123

China

Department of Finance, Deakin University

Adjunct Professor of Finance

75 Pigdons Road

Victoria, Victoria 3216

Australia

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Scholarly Papers (1)

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Exploring the Factor Zoo With a Machine-Learning Portfolio

WRDS Research Paper
Number of pages: 60 Posted: 09 Aug 2018 Last Revised: 02 Feb 2021
Halis Sak, Tao Huang and Michael Chng
Shenzhen Audencia Financial Technology Institute, Beijing Normal University-Hong Kong Baptist University United International College and Xian Jiaotong Liverpool University
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Abstract:

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Machine Learning, Characteristics, Return Predictability, Portfolio Evaluation