Machine learning and asset allocation

[1]  Peter Bühlmann Regression shrinkage and selection via the Lasso: a retrospective (Robert Tibshirani): Comments on the presentation , 2011 .

[2]  H. Simon,et al.  A Behavioral Model of Rational Choice , 1955 .

[3]  Ian Dew-Becker,et al.  Long-Run Risk is the Worst-Case Scenario , 2016 .

[4]  Larry G. Epstein,et al.  Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework , 1989 .

[5]  R. Tibshirani Regression Shrinkage and Selection via the Lasso , 1996 .

[6]  Emilio Osambela Differences of Opinion, Endogenous Liquidity, and Asset Prices , 2014 .

[7]  Paul C. Tetlock Giving Content to Investor Sentiment: The Role of Media in the Stock Market , 2005, The Journal of Finance.

[8]  John H. Cochrane,et al.  Presidential Address: Discount Rates , 2011 .

[9]  I. Gilboa,et al.  Inductive Inference: An Axiomatic Approach , 2001 .

[10]  Trevor Hastie,et al.  Regularization Paths for Generalized Linear Models via Coordinate Descent. , 2010, Journal of statistical software.

[11]  H. Zou,et al.  Regularization and variable selection via the elastic net , 2005 .

[12]  Bryan R. Routledge,et al.  Does Macro-Asset Pricing Matter for Corporate Finance? , 2017, Critical Finance Review.

[13]  Noah A. Smith,et al.  A Sparse and Adaptive Prior for Time-Dependent Model Parameters , 2013, ArXiv.

[14]  Zhenyu Wang,et al.  A Shrinkage Approach to Model Uncertainty and Asset Allocation , 2005 .

[15]  Lars Peter Hansen,et al.  Fragile beliefs and the price of uncertainty , 2010 .

[16]  R. Tibshirani,et al.  Sparsity and smoothness via the fused lasso , 2005 .

[17]  Xavier Gabaix,et al.  A Sparsity-Based Model of Bounded Rationality , 2011 .

[18]  Jules H. van Binsbergen,et al.  Equity Yields , 2011 .

[19]  James D. Hamilton,et al.  Robust Bond Risk Premia , 2018 .

[20]  I. Welch,et al.  A Comprehensive Look at the Empirical Performance of Equity Premium Prediction II , 2004, SSRN Electronic Journal.

[21]  Burton Hollifield,et al.  An Examination of Heterogeneous Beliefs with a Short Sale Constraint , 2002 .

[22]  R. Shiller,et al.  The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors , 1986 .

[23]  Larry Samuelson,et al.  Subjectivity in inductive inference: Subjectivity in inductive inference , 2012 .

[24]  Sydney C. Ludvigson,et al.  Macro Factors in Bond Risk Premia , 2005 .

[25]  Chong Wang,et al.  Dynamic Language Models for Streaming Text , 2014, TACL.

[26]  Ravi Bansal,et al.  Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles , 2000 .

[27]  R. Shiller,et al.  Stock Prices, Earnings and Expected Dividends , 1988 .

[28]  Carry , 2013 .

[29]  T. Fearn Ridge Regression , 2013 .

[30]  Brendan T. O'Connor,et al.  From Tweets to Polls: Linking Text Sentiment to Public Opinion Time Series , 2010, ICWSM.

[31]  Itzhak Gilboa,et al.  Simplicity and likelihood: An axiomatic approach , 2010, J. Econ. Theory.

[32]  D. Romer,et al.  A New Measure of Monetary Shocks: Derivation and Implications , 2003 .