Constructing long-short stock portfolio with a new listwise learn-to-rank algorithm

DOI10.1080/14697688.2021.1939117zbMath1484.91441arXiv2104.12484OpenAlexW3188167373MaRDI QIDQ5068092

Zhixue Chen, Xin Zhang, Lan Wu

Publication date: 5 April 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2104.12484

zbMATH Keywords

machine learninglong-short portfoliofactor strategylearn-to-rankListMLE

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Portfolio theory (91G10)

Related Items (1)

Optimal characteristic portfolios

Cites Work

• Neural network-based automatic factor construction
• A semiparametric graphical modelling approach for large-scale equity selection
• Common risk factors in the returns on stocks and bonds

This page was built for publication: Constructing long-short stock portfolio with a new listwise learn-to-rank algorithm