I tried to find papers working out different estimators for CAPM beta or 3 or 4 factor model but couldn‘t find any. Do you know if anyone has used machine learning techniques like xgboost or neural networks for estimating financial betas?
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$\begingroup$ Did you read quant.stackexchange.com/questions/37191/… ? $\endgroup$– Brian O'DonnellCommented Feb 25, 2018 at 15:14
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$\begingroup$ @oxymoron, is my answer clear or do you need any further elaboration? I see you have not accepted it yet. $\endgroup$– Richard HardyCommented Apr 6, 2018 at 17:36
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1 Answer
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CAPM is a model, so you need an estimation technique (such as least squares or maximum likelihood) to estimate its parameter(s). Meanwhile, neural networks and decision trees are models, not estimation techniques, so they cannot be used for estimating the parameter(s) of a given model.
answered Feb 25, 2018 at 7:59