Using Fundamental Analysis and an Ensemble of Classifier Models Along with a Risk-Off Filter to Select Outperforming Companies
2025 ed.
Book Details
Format
Hardback or Cased Book
ISBN-10
3031620607
ISBN-13
9783031620607
Edition
2025 ed.
Publisher
Springer International Publishing AG
Imprint
Springer International Publishing AG
Country of Manufacture
GB
Country of Publication
GB
Publication Date
Jun 19th, 2024
Print length
71 Pages
Product Classification:
Economic theory & philosophyInvestment & securitiesApplied mathematicsArtificial intelligence
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The risk adjusted performance of the final model, supported by the risk-off filter, achieves a Sharpe ratio of 1.63 which surpasses both the model’s performance without the filter that delivers Sharpe ratio of 1.41 and the one from the S&P500 index of 0.80.
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