Expected Returns: An Investor’s Guide to Harvesting Market Rewards

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Subfields: Finance

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Nonlinear Shrinkage of the Covariance Matrix for Portfolio Selection: Markowitz Meets Goldilocks (2017, unknown): “researcher using portfolio selection and has been previously considered by Kan and Smith (2008). Our first theoretical contribution is to prove that this loss function has a welldefined limit under large-dimensional asympotics, that is, when the dimension N goes to infinity along with the sample siz”
Factor Investing in the Corporate Bond Market (2017, unknown): “We follow Ilmanen (2011) by using both maturity and rating to construct our Low-Risk factor portfolio.”
Deep reinforcement learning for automated stock trading: an ensemble strategy (2020, methodology): “We model stock trading as a Markov Decision Process (MDP), and formulate our trading objective as a maximization of expected return [20].”
Psychology-based Models of Asset Prices and Trading Volume (2018, background): “Stock market ratios of price to fundamentals – the market’s price-to-earnings (P/E) ratio or its price-to-dividend (P/D) ratio – predict the market’s 2See Ilmanen (2011) for a detailed review of empirical evidence on asset prices.”