no code implementations • 27 Apr 2024 • Prabhu Prasad Panda, Maysam Khodayari Gharanchaei, Xilin Chen, Haoshu Lyu
The paper examines the performance of regression models (OLS linear regression, Ridge regression, Random Forest, and Fully-connected Neural Network) on the prediction of CMA (Conservative Minus Aggressive) factor premium and the performance of factor timing investment with them.