量化前沿速递：FOF及资配[20240728]

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机器翻译，仅供参考！可使用微信自带翻译功能自行翻译 更多文献获取请关注公众号：量化前沿速递 获取 文献链接/翻译/pdf 请加入知识星球“ 量化前沿速递 ” 文献汇总 [1] Well-Diversified Arbitrage Portfolios through Attentional Autoencoder 通过注意的自动编码器实现多样化的套利投资组合 来源:SSRN_20240725 [1] Well-Diversified Arbitrage Portfolios through Attentional Autoencoder 标题:通过注意的自动编码器实现多样化的套利投资组合 作者:Mishel Qyrana 来源:SSRN_20240725 Abstract : This paper contributes to the field of asset pricing theory by leveraging autoencoder neural networks to identify arbitrage opportunities. This research applies an autoencoder-based asset pricing model to 228 surviving S 500 stocks, aiming to generate systematically excess returns looking at those anomalies. The methodology compresses stock data into a latent space, identifying undervalued basket of stocks ………………………………