Yu-Man Tam

Office of the Comptroller of the Currency, Department of the Treasury

Senior Financial Economist

400 7th Street SW

Washington, DC 20219

United States

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The Cross-Section of Asset Synchronicity by Elastic-Net

Number of pages: 83 Posted: 01 Jan 2019
Raymond C. W. Leung and Yu-Man Tam
Cheung Kong Graduate School of Business and Office of the Comptroller of the Currency, Department of the Treasury
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Abstract:

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Cross-section, elastic-net, machine learning, asset synchronicity, asset insurance premium, macrofinance, portfolio construction