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Statistical learning theory in equity return forecasting
John M. Mulvey
, J. Thompson
Operations Research & Financial Engineering
Bendheim Center for Finance
Center for Statistics & Machine Learning
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Keyphrases
Equity Returns
100%
Excess Returns
100%
Financial Capital
100%
Individual Stocks
100%
Inequity
100%
Market-neutral Portfolio
100%
Multi-surface
100%
Optimization Model
100%
Return Prediction
100%
S&P 500
100%
Short Position
100%
Statistical Arbitrage
100%
Statistical Learning Theory
100%
Surface Method
100%
Trading Costs
100%
Trading Strategy
100%
Transaction Costs
100%
Economics, Econometrics and Finance
Arbitrage
100%
Transaction Costs
100%