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