Sharpening the Sharpe Analysis with Machine Learning: Evidence of Mutual Fund Style-Shifting Skill-Reference-Cited by-同舟云学术

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Sharpening the Sharpe Analysis with Machine Learning: Evidence of Mutual Fund Style-Shifting Skill

Published:2023 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Jiang George,Liang Bing,Zhang Huacheng

Publisher

Elsevier BV

Subject

General Earth and Planetary Sciences,General Environmental Science

Reference108 articles.

1. Time variation in mutual fund style exposures;Jan Annaert;Review of Finance,2007

2. Fund manager skill in an era of globalization: Offshore concentration and fund performance;John Bai;Journal of Financial Economics,2021

3. Estimation and testing linear models with multiple structural changes;Junshan Bai;Econometrica,1998

4. Computation and analysis pf multiple structural change models;Junshan Bai;Journal of Applied Econometrics,2003

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