Building long/short portfolios using rule induction
- 23 December 2002
- proceedings article
- Published by Institute of Electrical and Electronics Engineers (IEEE)
Abstract
We approach stock selection for long/short portfoliosfrom the perspective of knowledge discovery indatabases and rule induction: given a database ofhistorical information on some universe of stocks,discover rules from the data that will allow one topredict which stocks are likely to have exceptionallyhigh or low returns in the future. Long/short portfoliosallow a fund manager to independently addressvalue-added stock selection and factor exposure, andare a popular tool in financial...Keywords
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