Halis Sak

Hong Kong University of Science & Technology (HKUST) - Department of Finance

Clear Water Bay, Kowloon

Hong Kong

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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
Hong Kong University of Science & Technology (HKUST) - Department of Finance, 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