Search Results for author: Boris Kuznetsov

Found 3 papers, 0 papers with code

Large (and Deep) Factor Models

no code implementations20 Jan 2024 Bryan Kelly, Boris Kuznetsov, Semyon Malamud, Teng Andrea Xu

We open up the black box behind Deep Learning for portfolio optimization and prove that a sufficiently wide and arbitrarily deep neural network (DNN) trained to maximize the Sharpe ratio of the Stochastic Discount Factor (SDF) is equivalent to a large factor model (LFM): A linear factor pricing model that uses many non-linear characteristics.

Portfolio Optimization

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