Factor Investment or Feature Selection Analysis?

Factor Investment or Feature Selection Analysis?

This study has made significant findings in A-share market data processing and portfolio management. Firstly, by adopting the Lasso method and CPCA framework, we effectively addressed the problem of multicollinearity among feature indicators, with the Lasso method demonstrating superior performance...

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Bibliographic Details
Main Authors: Jifang Mai, Shaohua Zhang, Haiqing Zhao, Lijun Pan
Format: Article
Language:English
Published: MDPI AG 2024-12-01
Series:Mathematics
Subjects:
machine learning
multicollinearity
CPCA framework
lasso method
Online Access:https://www.mdpi.com/2227-7390/13/1/9
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