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Using Fundamental Analysis And An Ensemble Of Classifier Models Along With A Risk-Off Filter To Select Outperforming Companies
language: english
Publisher:
Springer International Publishing AG, June of 2024 ‧
see product details
113,55€
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SYNOPSIS
The risk adjusted performance of the final model, supported by the risk-off filter, achieves a Sharpe ratio of 1.63 which surpasses both the model’s performance without the filter that delivers Sharpe ratio of 1.41 and the one from the S&P500 index of 0.80.
DETAILS
| Property | Description |
|---|---|
| ISBN: | 9783031620607 |
| Publisher: | Springer International Publishing AG |
| Release Date: | June of 2024 |
| Language: | English |
| Dimensions: | 168 x 240 x 20 mm |
| Cover: | Hardcover |
| Pages: | 71 |
| Format: | Book |
| Collection: | Synthesis Lectures On Technology Management & Entrepreneurship |
| Categories: |
Books in English
>
Economics, Finance and Accounting
>
Economy
|
| EAN: | 9783031620607 |
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