Deep Learning for Corporate Bonds
A U.S. corporate bonds market asset pricing model shows that maximizing the Sharpe ratio performs better for individual bonds, with significant excess returns shown in out-of-sample annual SDF portfolio Sharpe ratios.
Featured in No. 10 on 2 Aug 2023 · 2 days after release · 1 citation today
- Released
- 31 Jul 2023
- First featured
- No. 10 · 2 Aug 2023
- Citations (Semantic Scholar)
- 1
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 7
- Identifier
- SSRN 4527372
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).