Constructing long-short stock portfolio with a new listwise learn-to-rank algorithm
Author:
Affiliation:
1. School of Mathematical Sciences, Peking University, Beijing, People's Republic of China
2. Institute for Interdisciplinary Information Sciences (IIIS), Tsinghua University, Beijing, People's Republic of China
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2021.1939117
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1. On Persistence in Mutual Fund Performance
2. Challenging the Conventional Wisdom on Active Management: A Review of the Past 20 Years of Academic Literature on Actively Managed Mutual Funds
3. Common risk factors in the returns on stocks and bonds
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