Nonparametric prediction of stock returns based on yearly data: the long-term view

DOI10.1016/j.insmatheco.2015.09.011zbMath1348.62247OpenAlexW1917650631MaRDI QIDQ896758

Michael Scholz, Jens Perch Nielsen, Stefan Sperlich

Publication date: 14 December 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://openaccess.city.ac.uk/id/eprint/12535/1/Stock%20with%20Prior_IME_rev6.pdf

zbMATH Keywords

bias reductiondimension reductioncross-validationprior knowledgeprediction of stock returns

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (5)

Forecasting benchmarks of long-term stock returns via machine learning ⋮ PREDICTION OF STOCK RETURNS MAY BE FALLACIOUS: A STOCHASTIC CONFIRMATION OF MALKIEL’S ASSERTION ON DARTBOARD INVESTMENTS ⋮ Nonparametric long term prediction of stock returns with generated bond yields ⋮ Stock market prediction based on adaptive training algorithm in machine learning ⋮ Long-term real dynamic investment planning

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