A machine learning algorithm applied to macroeconomic factor investing
This paper examines the extent to which macroeconomic indicators can be used to determine the optimal allocation of an extended Fama French 5-Factor model which includes the risk-free rate. The study is based on Modern Portfolio Theory (MPT) as developed by Markowitz(1952) and Smart Beta Investing....
| Autor principal: | |
|---|---|
| Formato: | masterThesis |
| Idioma: | eng |
| Publicado em: |
2022
|
| Assuntos: | |
| Texto completo: | http://hdl.handle.net/10362/144695 |
| País: | Portugal |
| Oai: | oai:run.unl.pt:10362/144695 |