Asset Pricing on 50 Stocks Out-of-Sample Group H 2010-2023 (test)
71.86Average ReturnSKINN
Evaluation results
| Method | Links | |||
|---|---|---|---|---|
| SKINNModel Architecture=2-32, Penalty Parameter (eta)=02026.04 | 71.86 | 119.78 | 0.6 | |
| SKINNModel Architecture=1-32, Penalty Parameter (eta)=102026.04 | 70.83 | 102.91 | 0.69 | |
| SKINNModel Architecture=5-32, Penalty Parameter (eta)=02026.04 | 70.35 | 122.43 | 0.57 | |
| SKINNModel Architecture=3-32, Penalty Parameter (eta)=02026.04 | 68.94 | 122.6 | 0.56 | |
| SKINNModel Architecture=1-32, Penalty Parameter (eta)=02026.04 | 68.22 | 109.78 | 0.62 | |
| SKINNModel Architecture=4-32, Penalty Parameter (eta)=02026.04 | 67.11 | 118.09 | 0.57 | |
| SKINNModel Architecture=5-32, Penalty Parameter (eta)=102026.04 | 65.48 | 100 | 0.65 | |
| SKINNModel Architecture=2-32, Penalty Parameter (eta)=102026.04 | 65.32 | 99.71 | 0.66 | |
| SKINNModel Architecture=4-32, Penalty Parameter (eta)=102026.04 | 61.96 | 97.56 | 0.64 | |
| NNModel Architecture=1-322026.04 | 60.73 | 130.07 | 0.47 | |
| SKINNModel Architecture=3-32, Penalty Parameter (eta)=102026.04 | 59.45 | 100.1 | 0.59 | |
| NNModel Architecture=4-322026.04 | 57.71 | 124.46 | 0.46 | |
| NNModel Architecture=2-322026.04 | 57.01 | 127.73 | 0.45 | |
| NNModel Architecture=3-322026.04 | 56.57 | 127.98 | 0.44 | |
| NNModel Architecture=5-322026.04 | 56.54 | 125.43 | 0.45 |