Differentiating asset classes. (2018)

• Record Type: Journal Article
• Authors: Madan, Dilip B.
• Is Part Of: International journal of portfolio analysis & management. Volume 2:Number 2(2018)
• Page Start: 99
• Page End: 113
• Publication Date: 2018
• Subjects: bilateral gamma model -- digital moment estimation -- asset allocation; Investment analysis -- Periodicals; 332.605
• Languages: English
• ISSNs: 2048-2361

Abstract

Representing continuously compounded returns in seven asset classes, by their four bilateral gamma parameter estimates, a multiclass classification support vector machine is trained, on a sample of less than one percent of the data, to predict the asset class from which the returns were obtained. The asset classes considered are equities, volatility, commodities, foreign exchange, credit and bond indices and returns of hedge funds. Linear classification is observed to perform poorly. The use of seven binary learners makes some improvement and twenty one, one on one, binary learners deliver a good classification algorithm, also performing well out of sample.