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....

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Bibliographic Details
Main Author: Simões, Ana Bárbara Moura Da Luz Delgado (author)
Format: masterThesis
Language:eng
Published: 2022
Subjects:
Corporate finance
Private equity
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
Online Access:http://hdl.handle.net/10362/144695
Country:Portugal
Oai:oai:run.unl.pt:10362/144695

Internet

http://hdl.handle.net/10362/144695

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