Asset Pricing and Artificial Neural Networks

Published: 31-10-2018| Version 2 | DOI: 10.17632/y2jfnnnc2z.2
Contributor:
Muhammad Naveed jan

Description

Artificial Neural Networks can be used to forecast the portfolio returns in the presence of Fama and French Three factor and five-factor model

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Steps to reproduce

at the first stage, I collected the secondary data for 15 years regarding the financial variables of the major composite factors of the five factors model. then i applied the ANN methodology to calculate the MSE of all the 30 portfolios in a Matlab program. I organized the data in Excel format for all the 15 years.