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hkalager / knockoff_index

This repository contains a small project where I study feasibility of using knockoff filters in portfolio management. More details are included in the Wiki page
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Non-reliance on historical profit estimates #2

Closed hkalager closed 1 year ago

hkalager commented 2 years ago

There is a possible problem with the recorded out-of-sample profit estimates.

In my codes, I use prices in CRSP which does not take into account stock splits and mergers.

The overall approach of creating excess alpha with value investing remains a valid approach. I validated the latter by Eikon data.

New Python scripts shall be released by end of the year.

hkalager commented 1 year ago

This issue is now resolved in the January 2023 update.