Essays on computational portfolio management and asset pricing / Sebastian Konstantin Schäfer. Wuppertal, September 30, 2023
Content
- Introduction
- High-Dimensional Stock Portfolio Trading with Deep Reinforcement Learning
- Introduction
- Background and related literature
- Deep Q-learning for Portfolio Management
- Experiments
- Conclusion
- A Deep Learning Stack for Asset Pricing and Portfolio Management
- Anxiety in Returns
- Introduction
- Risk aversion, anxiety and investment behavior
- Empirical analysis
- Data
- Empirical results for the anxiety anomaly
- Time persistence
- In-sample predictive power
- Investor's convex reaction to fear
- Alternative risk aversion measurement
- Out-of-sample predictability
- Potential drivers of the anxiety anomaly
- Anxiety anomaly and neural networks
- Conclusion
- Monday Afternoon Reversal
- Introduction
- Monday afternoon reversal
- Data
- The Monday afternoon reversal
- Predictive regression analysis
- Out-of-sample analysis
- Overnight versus intraday components
- Relationship to systematic risk and firm news
- U.S. stock market indices and international ETFs
- Conclusion
- Summary and conclusions