Blar i BI Open på forfatter "Greve, Henrik Andreas"
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Selecting characteristics using the Adaptive Group Lasso on U.S. industries
Greve, Henrik Andreas; Maseng, Ivar Gjerstad (Master thesis, 2020)Throughout the years, hundreds of factors have been proposed to forecast stock returns. Cochrane (2011) referred to these factors as the "zoo of new factors." In this thesis, we consider 62 of these factors and analyze ...