Asset Pricing on 50 Stocks Group L 2010-2023 (out-of-sample test)
77.84Average Return (%)NN
Evaluation results
| Method | Links | |||
|---|---|---|---|---|
| NNModel Architecture=5-322026.04 | 77.84 | 134.57 | 0.58 | |
| NNModel Architecture=3-322026.04 | 76.98 | 132.41 | 0.58 | |
| SKINNModel Architecture=5-32, Penalty Parameter (eta)=02026.04 | 73.08 | 132.93 | 0.55 | |
| NNModel Architecture=2-322026.04 | 72.12 | 145.66 | 0.5 | |
| SKINNModel Architecture=3-32, Penalty Parameter (eta)=02026.04 | 71.67 | 132.81 | 0.54 | |
| SKINNModel Architecture=2-32, Penalty Parameter (eta)=02026.04 | 70.98 | 141.31 | 0.5 | |
| SKINNModel Architecture=5-32, Penalty Parameter (eta)=102026.04 | 70.9 | 135.16 | 0.52 | |
| SKINNModel Architecture=4-32, Penalty Parameter (eta)=02026.04 | 68.98 | 133.11 | 0.52 | |
| NNModel Architecture=4-322026.04 | 65.51 | 136.01 | 0.48 | |
| SKINNModel Architecture=3-32, Penalty Parameter (eta)=102026.04 | 60.34 | 134.04 | 0.45 | |
| NNModel Architecture=1-322026.04 | 59.29 | 136.54 | 0.43 | |
| SKINNModel Architecture=1-32, Penalty Parameter (eta)=102026.04 | 57.77 | 134.48 | 0.43 | |
| SKINNModel Architecture=2-32, Penalty Parameter (eta)=102026.04 | 57.19 | 140.62 | 0.41 | |
| SKINNModel Architecture=1-32, Penalty Parameter (eta)=02026.04 | 54.78 | 133.41 | 0.41 | |
| SKINNModel Architecture=4-32, Penalty Parameter (eta)=102026.04 | 54.35 | 134.98 | 0.4 |